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Details about Jean-Luc Prigent

E-mail:
Phone:+33(1) 34 25 61 72
Postal address:University of Cergy-Pontoise 33, Bd du Port 95011 CERGY-PONTOISE FRANCE
Workplace:Théorie Économique, Modélisation, Application (THEMA) (Economic Theory, Modeling, Applications), Université de Cergy-Pontoise (University of Cergy-Pontoise), (more information at EDIRC)

Access statistics for papers by Jean-Luc Prigent.

Last updated 2019-11-10. Update your information in the RePEc Author Service.

Short-id: ppr77


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Working Papers

2018

  1. Mixed-asset portfolio allocation under mean-reverting asset returns
    Post-Print, HAL
    See also Journal Article in Annals of Operations Research (2019)
  2. Optimal Employee Ownership Contracts under Ambiguity Aversion
    Post-Print, HAL Downloads
    See also Journal Article in Economic Inquiry (2018)
  3. Residential Real Estate in a Mixed-Asset Portfolio
    Post-Print, HAL

2017

  1. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions
    Post-Print, HAL Downloads View citations (3)
  2. Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads

2016

  1. Equilibrium of financial derivative markets under portfolio insurance constraints
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2016) View citations (1)

    See also Journal Article in Economic Modelling (2016)
  2. Optimal positioning in financial derivatives under mixture distributions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (5)

    See also Journal Article in Economic Modelling (2016)

2015

  1. French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing
    Post-Print, HAL View citations (1)
    See also Journal Article in Bankers, Markets & Investors (2015)
  2. On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
    Post-Print, HAL View citations (1)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads

    See also Journal Article in Finance (2015)
  3. Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads
    See also Journal Article in Economic Modelling (2016)

2014

  1. A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
    Working Papers, Department of Research, Ipag Business School Downloads View citations (17)
    Also in Post-Print, HAL (2014) View citations (4)
    Working Papers, HAL (2014) Downloads View citations (14)
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2013) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2014)
  2. Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs
    Working Papers, Department of Research, Ipag Business School Downloads View citations (5)
  3. Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions
    Working Papers, Department of Research, Ipag Business School Downloads
  4. Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation
    Working Papers, Department of Research, Ipag Business School Downloads View citations (13)
  5. On the debt capacity of growth and decay options
    Working Papers, Department of Research, Ipag Business School Downloads View citations (5)
  6. Optimal Portfolio Positioning within Generalized Johnson Distributions
    Working Papers, Department of Research, Ipag Business School Downloads View citations (4)
    See also Journal Article in Quantitative Finance (2017)
  7. Portfolio Optimization within Mixture of Distributions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011)
  8. Structured portfolio analysis under SharpeOmega ratio
    Working Papers, Department of Research, Ipag Business School Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
    EcoMod2010, EcoMod Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads

2013

  1. Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies
    Post-Print, HAL
    See also Journal Article in Finance (2013)

2012

  1. Corporate investment choice and exchange option between production functions
    Post-Print, HAL

2011

  1. Omega performance measure and portfolio insurance
    Post-Print, HAL View citations (10)
    Also in Post-Print, HAL (2011) View citations (4)

    See also Journal Article in Journal of Banking & Finance (2011)
  2. On the maximization of financial performance measures within mixture models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (6)
    See also Journal Article in Statistics & Risk Modeling (2011)
  3. Real Estate Portfolio Management: Optimization under Risk Aversion
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (3)
  4. VaR and Omega measures for hedge funds portfolios: A copula approach
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)

2010

  1. A Note on Risk Aversion, Prudence and Portfolio Insurance
    Post-Print, HAL View citations (3)
    See also Journal Article in The Geneva Risk and Insurance Review (2010)
  2. Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
  3. Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (8)
  4. Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations
    Working Papers, HAL Downloads View citations (1)

2009

  1. A Risk Management Approach for Portfolio Insurance Strategies
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (5)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads View citations (4)
  2. Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID
    Working Papers, HAL Downloads

2008

  1. Firm's value under investment irreversibility, stochastic demand and general production function
    Post-Print, HAL
  2. Optimal Time to Sell in Real Estate Portfolio Management
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (5)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2009)

2007

  1. Hedging global environment risks: An option based portfolio insurance
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (1)

2005

  1. Portfolio Insurance Strategies: OBPI versus CPPI
    Post-Print, HAL View citations (27)

2003

  1. EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY
    Post-Print, HAL
  2. Optimal portfolio positioning
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (2)
  3. Optimal portfolio: towards an operational decision support system
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  4. Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic
    Post-Print, HAL View citations (10)

2002

  1. Option Pricing with Discrete Rebalancing
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
    Also in Working Papers, Center for Research in Economics and Statistics (1999) Downloads View citations (1)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations (2)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2004)
  2. Portfolio Insurance: The Extreme Value Theory of the Cppi Method
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2001)
  3. Weak Convergence of Hedging Strategies of Contingent Claims
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (3)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) Downloads

2000

  1. An Autoregressive Conditional Binomial Option Pricing Model
    FMG Discussion Papers, Financial Markets Group Downloads View citations (4)
    Also in Working Papers, Center for Research in Economics and Statistics (1999) Downloads View citations (10)
  2. An Empirical Estimation in Credit Spread Indices
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads
  3. An Empirical Investigation in Credit Spread Indices
    FMG Discussion Papers, Financial Markets Group Downloads View citations (3)
    Also in Working Papers, Center for Research in Economics and Statistics (2000) Downloads View citations (5)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) Downloads View citations (3)
  4. Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (8)
  5. Optimisation de portefeuille sous contrainte de variance de la tracking-error
    Post-Print, HAL
  6. Portfolio Insurance: The extreme Value of the CCPI Method
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (14)
  7. Strategies optimales d'allocation de portefeuilles internationaux avec contraintes
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

1999

  1. An autoregressive conditional binomial option pricing model under stochastic rates
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (2)
  2. Optimal portfolio under insurance constraints on the horizon wealth
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  3. Optimality of portfolio insurance The extended CPPI method
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)

1998

  1. Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)
    See also Journal Article in Finance and Stochastics (2000)

1997

  1. Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
  2. Convergence of discrete time options pricing models under stochastic
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  3. Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. View citations (2)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (1)
  4. Option Pricing with a General Market Point Process
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (6)

    See also Journal Article in Mathematics of Operations Research (2001)

1996

  1. A general subordinated stochastic process for the derivatives pricing
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2001)
  2. Implied risk neutral probability measures on options markets: The L2 approach
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)

1995

  1. Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
  2. Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

1992

  1. The private provision of public good in the case of satiation points: The case of a quasi-linear economy
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

Journal Articles

2019

  1. A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates
    Computational Economics, 2019, 54, (1), 367-417 Downloads
  2. Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market
    Economic Modelling, 2019, 80, (C), 11-22 Downloads
  3. Mixed-asset portfolio allocation under mean-reverting asset returns
    Annals of Operations Research, 2019, 281, (1), 65-98 Downloads
    See also Working Paper (2018)
  4. On the optimality of path-dependent structured funds: The cost of standardization
    European Journal of Operational Research, 2019, 277, (1), 333-350 Downloads
  5. Preface: decision making and risk/return optimization in financial economics
    Annals of Operations Research, 2019, 281, (1), 1-2 Downloads

2018

  1. DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS
    Economic Inquiry, 2018, 56, (3), 1870-1886 Downloads
  2. OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION
    Economic Inquiry, 2018, 56, (1), 238-251 Downloads
    See also Working Paper (2018)
  3. On the robustness of portfolio allocation under copula misspecification
    Annals of Operations Research, 2018, 262, (2), 631-652 Downloads View citations (1)
  4. Preface: Risk management decisions and wealth management in Financial Economics
    Annals of Operations Research, 2018, 262, (2), 239-240 Downloads View citations (1)
  5. Risk management of time varying floors for dynamic portfolio insurance
    European Journal of Operational Research, 2018, 269, (1), 363-381 Downloads

2017

  1. Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds
    Economic Modelling, 2017, 67, (C), 228-247 Downloads
  2. Optimal portfolio positioning within generalized Johnson distributions
    Quantitative Finance, 2017, 17, (7), 1037-1055 Downloads View citations (1)
    See also Working Paper (2014)

2016

  1. Equilibrium of financial derivative markets under portfolio insurance constraints
    Economic Modelling, 2016, 52, (PA), 278-291 Downloads View citations (2)
    See also Working Paper (2016)
  2. Optimal funding and hiring/firing policies with mean reverting demand
    Economic Modelling, 2016, 58, (C), 569-579 Downloads
  3. Optimal positioning in financial derivatives under mixture distributions
    Economic Modelling, 2016, 52, (PA), 115-124 Downloads View citations (1)
    See also Working Paper (2016)
  4. Real estate investment: Market volatility and optimal holding period under risk aversion
    Economic Modelling, 2016, 58, (C), 543-555 Downloads
    See also Working Paper (2015)

2015

  1. French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing
    Bankers, Markets & Investors, 2015, (135), 4-18 Downloads View citations (1)
    See also Working Paper (2015)
  2. On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
    Finance, 2015, 36, (2), 67-105 Downloads View citations (1)
    See also Working Paper (2015)

2014

  1. A dynamic autoregressive expectile for time-invariant portfolio protection strategies
    Journal of Economic Dynamics and Control, 2014, 46, (C), 1-29 Downloads View citations (14)
    See also Working Paper (2014)
  2. Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange
    International Journal of Academic Research in Accounting, Finance and Management Sciences, 2014, 4, (2), 58-71 Downloads View citations (1)
  3. On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options
    Economic Modelling, 2014, 40, (C), 410-422 Downloads View citations (1)
  4. Portfolio insurance: Gap risk under conditional multiples
    European Journal of Operational Research, 2014, 236, (1), 238-253 Downloads View citations (11)

2013

  1. Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies
    Finance, 2013, 34, (1), 73-116 Downloads
    See also Working Paper (2013)
  2. Optimal portfolio positioning under ambiguity
    Economic Modelling, 2013, 34, (C), 89-97 Downloads View citations (10)

2011

  1. Omega performance measure and portfolio insurance
    Journal of Banking & Finance, 2011, 35, (7), 1811-1823 Downloads View citations (38)
    See also Working Paper (2011)
  2. On the maximization of financial performance measures within mixture models
    Statistics & Risk Modeling, 2011, 28, (1), 63-80 Downloads View citations (9)
    See also Working Paper (2011)
  3. Ownership structure and stock market liquidity: evidence from Tunisia
    International Journal of Managerial and Financial Accounting, 2011, 3, (1), 91-109 Downloads View citations (1)

2010

  1. A Note on Risk Aversion, Prudence and Portfolio Insurance
    The Geneva Risk and Insurance Review, 2010, 35, (1), 81-92 Downloads View citations (5)
    See also Working Paper (2010)

2009

  1. Optimal Time to Sell in Real Estate Portfolio Management
    The Journal of Real Estate Finance and Economics, 2009, 38, (1), 59-87 Downloads View citations (5)
    See also Working Paper (2008)
  2. Standardized versus customized portfolio: a compensating variation approach
    Annals of Operations Research, 2009, 165, (1), 161-185 Downloads View citations (11)

2008

  1. Utilitarianism and fairness in portfolio positioning
    Journal of Banking & Finance, 2008, 32, (8), 1648-1660 Downloads View citations (11)

2004

  1. Option pricing with discrete rebalancing
    Journal of Empirical Finance, 2004, 11, (1), 133-161 Downloads
    See also Working Paper (2002)

2001

  1. A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (01), 121-146 Downloads
    See also Working Paper (1996)
  2. Option Pricing with a General Marked Point Process
    Mathematics of Operations Research, 2001, 26, (1), 50-66 Downloads View citations (2)
    See also Working Paper (1997)

1999

  1. Convergence of discrete time option pricing models under stochastic interest rates
    Finance and Stochastics, 2000, 4, (1), 81-93 Downloads View citations (3)
    See also Working Paper (1998)

1997

  1. A note on the valuation of an exotic timing option
    Journal of Futures Markets, 1997, 17, (4), 483-487 Downloads View citations (1)

Edited books

2008

  1. Risk Management and Value:Valuation and Asset Pricing
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads
 
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