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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 2024-11-04. Update your information in the RePEc Author Service.

Short-id: ppr77


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Working Papers

2023

  1. Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads

2022

  1. Crises and Uncertainty in the Economy
    Post-Print, HAL
  2. Dynamic connectedness and optimal hedging strategy among commodities and financial indices
    Post-Print, HAL View citations (6)
    See also Journal Article Dynamic connectedness and optimal hedging strategy among commodities and financial indices, International Review of Financial Analysis, Elsevier (2022) Downloads View citations (7) (2022)
  3. On the risk management of demand deposits: quadratic hedging of interest rate margins
    Post-Print, HAL
    Also in Post-Print, HAL (2020)

    See also Journal Article On the risk management of demand deposits: quadratic hedging of interest rate margins, Annals of Operations Research, Springer (2022) Downloads (2022)
  4. Performance Participation Strategies: OBPP versus CPPP
    Post-Print, HAL Downloads
    See also Journal Article Performance Participation Strategies: OBPP versus CPPP, Finance, Presses universitaires de Grenoble (2022) Downloads (2022)
  5. Risk management decisions and value under uncertainty
    Post-Print, HAL
    See also Journal Article Risk management decisions and value under uncertainty, Annals of Operations Research, Springer (2022) Downloads (2022)

2020

  1. About Long-Term Cross-Currency Bermuda Swaption Pricing
    Post-Print, HAL
    See also Journal Article About Long-Term Cross-Currency Bermuda Swaption Pricing, Computational Economics, Springer (2020) Downloads (2020)
  2. Optimal Portfolio Positioning on Multiple Assets Under Ambiguity
    Post-Print, HAL
    See also Journal Article Optimal Portfolio Positioning on Multiple Assets Under Ambiguity, Computational Economics, Springer (2020) Downloads (2020)

2019

  1. A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates
    Post-Print, HAL
    See also Journal Article A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates, Computational Economics, Springer (2019) Downloads (2019)
  2. Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market
    Post-Print, HAL View citations (3)
    See also Journal Article Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market, Economic Modelling, Elsevier (2019) Downloads View citations (6) (2019)
  3. On the optimality of path-dependent structured funds: The cost of standardization
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article On the optimality of path-dependent structured funds: The cost of standardization, European Journal of Operational Research, Elsevier (2019) Downloads View citations (2) (2019)
  4. Preface: decision making and risk/return optimization in financial economics
    Post-Print, HAL
    See also Journal Article Preface: decision making and risk/return optimization in financial economics, Annals of Operations Research, Springer (2019) Downloads (2019)

2018

  1. DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS
    Post-Print, HAL
    See also Journal Article DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS, Economic Inquiry, Western Economic Association International (2018) Downloads View citations (1) (2018)
  2. Mixed-asset portfolio allocation under mean-reverting asset returns
    Post-Print, HAL
    See also Journal Article Mixed-asset portfolio allocation under mean-reverting asset returns, Annals of Operations Research, Springer (2019) Downloads View citations (2) (2019)
  3. On the robustness of portfolio allocation under copula misspecification
    Post-Print, HAL View citations (4)
    See also Journal Article On the robustness of portfolio allocation under copula misspecification, Annals of Operations Research, Springer (2018) Downloads View citations (5) (2018)
  4. Optimal Employee Ownership Contracts under Ambiguity Aversion
    Post-Print, HAL Downloads
    See also Journal Article OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION, Economic Inquiry, Western Economic Association International (2018) Downloads (2018)
  5. Preface: Risk management decisions and wealth management in Financial Economics
    Post-Print, HAL
    See also Journal Article Preface: Risk management decisions and wealth management in Financial Economics, Annals of Operations Research, Springer (2018) Downloads View citations (1) (2018)
  6. Residential Real Estate in a Mixed-Asset Portfolio
    Post-Print, HAL
  7. Risk management of time varying floors for dynamic portfolio insurance
    Post-Print, HAL View citations (3)
    See also Journal Article Risk management of time varying floors for dynamic portfolio insurance, European Journal of Operational Research, Elsevier (2018) Downloads View citations (4) (2018)

2017

  1. Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds
    Post-Print, HAL View citations (1)
    See also Journal Article Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds, Economic Modelling, Elsevier (2017) Downloads View citations (2) (2017)
  2. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions
    Post-Print, HAL Downloads View citations (19)
  3. 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
  4. Optimal portfolio positioning within generalized Johnson distributions
    Post-Print, HAL View citations (2)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (7)

    See also Journal Article Optimal portfolio positioning within generalized Johnson distributions, Quantitative Finance, Taylor & Francis Journals (2017) Downloads View citations (2) (2017)

2016

  1. Equilibrium of financial derivative markets under portfolio insurance constraints
    Post-Print, HAL View citations (2)
    See also Journal Article Equilibrium of financial derivative markets under portfolio insurance constraints, Economic Modelling, Elsevier (2016) Downloads View citations (2) (2016)
  2. On the Stochastic Dominance of Portfolio Insurance Strategies
    Post-Print, HAL View citations (4)
  3. On the diversity score: a copula approach
    Post-Print, HAL
  4. Optimal funding and hiring/firing policies with mean reverting demand
    Post-Print, HAL
    See also Journal Article Optimal funding and hiring/firing policies with mean reverting demand, Economic Modelling, Elsevier (2016) Downloads (2016)
  5. Optimal positioning in financial derivatives under mixture distributions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (5)
    Post-Print, HAL (2016) View citations (2)

    See also Journal Article Optimal positioning in financial derivatives under mixture distributions, Economic Modelling, Elsevier (2016) Downloads View citations (2) (2016)

2015

  1. Detecting performance persistence of hedge funds
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    Also in Post-Print, HAL (2015) View citations (1)
  2. French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing
    Post-Print, HAL View citations (2)
    See also Journal Article French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing, Bankers, Markets & Investors, ESKA Publishing (2015) Downloads View citations (3) (2015)
  3. 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 On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds), Finance, Presses universitaires de Grenoble (2015) Downloads View citations (1) (2015)
  4. 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 Real estate investment: Market volatility and optimal holding period under risk aversion, Economic Modelling, Elsevier (2016) Downloads (2016)

2014

  1. A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
    Working Papers, HAL Downloads View citations (21)
    Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2013) Downloads
    Post-Print, HAL (2014) View citations (16)
    Post-Print, HAL (2014) View citations (21)
    Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (24)

    See also Journal Article A dynamic autoregressive expectile for time-invariant portfolio protection strategies, Journal of Economic Dynamics and Control, Elsevier (2014) Downloads View citations (21) (2014)
  2. Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs
    Working Papers, Department of Research, Ipag Business School Downloads View citations (6)
  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 (14)
  5. On the debt capacity of growth and decay options
    Working Papers, Department of Research, Ipag Business School Downloads View citations (5)
  6. On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options
    Post-Print, HAL View citations (2)
    See also Journal Article On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options, Economic Modelling, Elsevier (2014) Downloads View citations (2) (2014)
  7. Portfolio Optimization within Mixture of Distributions
    Working Papers, HAL Downloads View citations (1)
    Also in Post-Print, HAL (2011)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011)
  8. Portfolio insurance: Gap risk under conditional multiples
    Post-Print, HAL View citations (19)
    See also Journal Article Portfolio insurance: Gap risk under conditional multiples, European Journal of Operational Research, Elsevier (2014) Downloads View citations (21) (2014)
  9. Structured portfolio analysis under SharpeOmega ratio
    Working Papers, Department of Research, Ipag Business School Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
    EcoMod2010, EcoMod (2010) Downloads
    Working Papers, HAL (2012) Downloads

2013

  1. Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies
    Post-Print, HAL
    See also Journal Article Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies, Finance, Presses universitaires de Grenoble (2013) Downloads (2013)
  2. Optimal portfolio positioning under ambiguity
    Post-Print, HAL View citations (7)
    See also Journal Article Optimal portfolio positioning under ambiguity, Economic Modelling, Elsevier (2013) Downloads View citations (11) (2013)

2012

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

2011

  1. A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
    Post-Print, HAL
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1996) View citations (1)

    See also Journal Article A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2001) Downloads View citations (3) (2001)
  2. Omega performance measure and portfolio insurance
    Post-Print, HAL View citations (47)
    See also Journal Article Omega performance measure and portfolio insurance, Journal of Banking & Finance, Elsevier (2011) Downloads View citations (58) (2011)
  3. On the maximization of financial performance measures within mixture models
    Post-Print, HAL View citations (3)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (8)

    See also Journal Article On the maximization of financial performance measures within mixture models, Statistics & Risk Modeling, De Gruyter (2011) Downloads View citations (9) (2011)
  4. Ownership structure and stock market liquidity: evidence from Tunisia
    Post-Print, HAL View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (3)

    See also Journal Article Ownership structure and stock market liquidity: evidence from Tunisia, International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd (2011) Downloads View citations (3) (2011)
  5. 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)
  6. VaR and Omega measures for hedge funds portfolios: A copula approach
    Post-Print, HAL View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (1)

2010

  1. A Note on Risk Aversion, Prudence and Portfolio Insurance
    Post-Print, HAL View citations (9)
    See also Journal Article A Note on Risk Aversion, Prudence and Portfolio Insurance, The Geneva Risk and Insurance Review, Palgrave Macmillan (2010) Downloads View citations (9) (2010)
  2. Behaviour towards Risk in Structured Portfolio Management
    Post-Print, HAL View citations (3)
  3. Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) View citations (1)

    See also Chapter Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination, International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited (2010) Downloads (2010)
  4. 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 (10)
    Also in Post-Print, HAL (2010) View citations (11)
  5. Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations
    Working Papers, HAL Downloads View citations (1)
  6. International Portfolio Optimization with Higher Moments
    Post-Print, HAL View citations (8)

2009

  1. A Risk Management Approach for Portfolio Insurance Strategies
    Post-Print, HAL Downloads View citations (6)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads View citations (8)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads View citations (6)
  2. Optimal Time to Sell in Real Estate Portfolio Management
    Post-Print, HAL View citations (9)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2008) Downloads View citations (5)

    See also Journal Article Optimal Time to Sell in Real Estate Portfolio Management, The Journal of Real Estate Finance and Economics, Springer (2009) Downloads View citations (6) (2009)
  3. Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID
    Working Papers, HAL Downloads View citations (1)
  4. Standardized versus customized portfolio: a compensating variation approach
    Post-Print, HAL View citations (11)
    See also Journal Article Standardized versus customized portfolio: a compensating variation approach, Annals of Operations Research, Springer (2009) Downloads View citations (13) (2009)

2008

  1. Firm's value under investment irreversibility, stochastic demand and general production function
    Post-Print, HAL
  2. Hedging global environment risks: An option based portfolio insurance
    Post-Print, HAL View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2007) Downloads View citations (1)
  3. Utilitarianism and fairness in portfolio positioning
    Post-Print, HAL View citations (13)
    See also Journal Article Utilitarianism and fairness in portfolio positioning, Journal of Banking & Finance, Elsevier (2008) Downloads View citations (15) (2008)

2005

  1. Portfolio Insurance Strategies: OBPI versus CPPI
    Post-Print, HAL View citations (38)

2004

  1. Option pricing with discrete rebalancing
    Post-Print, HAL
    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 (1)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2002) Downloads
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) Downloads View citations (1)

    See also Journal Article Option pricing with discrete rebalancing, Journal of Empirical Finance, Elsevier (2004) Downloads View citations (1) (2004)

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 (3)
  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 (22)

2002

  1. Portfolio Insurance: The Extreme Value Theory of the Cppi Method
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2001) View citations (1)
  2. Weak Convergence of Hedging Strategies of Contingent Claims
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (5)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) Downloads

2001

  1. Option Pricing with a General Marked Point Process
    Post-Print, HAL View citations (7)
    Also in Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1997) View citations (1)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (6)

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 (13)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads
  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
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) Downloads View citations (3)
    FMG Discussion Papers, Financial Markets Group (2000) Downloads View citations (3)
  4. Convergence of discrete time option pricing models under stochastic interest rates
    Post-Print, HAL View citations (6)
    Also in Working Papers, Center for Research in Economics and Statistics (1998) Downloads View citations (3)

    See also Journal Article Convergence of discrete time option pricing models under stochastic interest rates, Finance and Stochastics, Springer (2000) Downloads View citations (2) (2000)
  5. Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (12)
  6. Optimisation de portefeuille sous contrainte de variance de la tracking-error
    Post-Print, HAL View citations (1)
  7. 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 (16)
  8. 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. Incomplete markets: convergence of options values under the minimal martingale measure
    Post-Print, HAL View citations (5)
  3. Optimal portfolio under insurance constraints on the horizon wealth
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  4. Optimality of portfolio insurance The extended CPPI method
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (1)

1997

  1. A note on the valuation of an exotic timing option
    Post-Print, HAL View citations (1)
    See also Journal Article A note on the valuation of an exotic timing option, Journal of Futures Markets, John Wiley & Sons, Ltd. (1997) Downloads View citations (1) (1997)
  2. Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
  3. Convergence of discrete time options pricing models under stochastic
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  4. 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 (3)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (1)

1996

  1. 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 (2)

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
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

Journal Articles

2024

  1. Operational research insights on risk, resilience & dynamics of financial & economic systems
    Annals of Operations Research, 2024, 334, (1), 1-6 Downloads

2023

  1. Crisis and Risk Management: Recent Developments in Computational Economics
    Computational Economics, 2023, 62, (2), 487-491 Downloads
  2. On the Hedging of Interest Rate Margins on Bank Demand Deposits
    Computational Economics, 2023, 62, (3), 935-967 Downloads
  3. On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices
    Applied Economics, 2023, 55, (1), 20-42 Downloads View citations (2)

2022

  1. Dynamic connectedness and optimal hedging strategy among commodities and financial indices
    International Review of Financial Analysis, 2022, 83, (C) Downloads View citations (7)
    See also Working Paper Dynamic connectedness and optimal hedging strategy among commodities and financial indices, Post-Print (2022) View citations (6) (2022)
  2. On the risk management of demand deposits: quadratic hedging of interest rate margins
    Annals of Operations Research, 2022, 313, (2), 1319-1355 Downloads
    See also Working Paper On the risk management of demand deposits: quadratic hedging of interest rate margins, Post-Print (2022) (2022)
  3. Performance Participation Strategies: OBPP versus CPPP
    Finance, 2022, 43, (1), 123-150 Downloads
    See also Working Paper Performance Participation Strategies: OBPP versus CPPP, Post-Print (2022) Downloads (2022)
  4. Risk management decisions and value under uncertainty
    Annals of Operations Research, 2022, 313, (2), 603-604 Downloads
    See also Working Paper Risk management decisions and value under uncertainty, Post-Print (2022) (2022)

2020

  1. About Long-Term Cross-Currency Bermuda Swaption Pricing
    Computational Economics, 2020, 56, (1), 239-262 Downloads
    See also Working Paper About Long-Term Cross-Currency Bermuda Swaption Pricing, Post-Print (2020) (2020)
  2. Optimal Portfolio Positioning on Multiple Assets Under Ambiguity
    Computational Economics, 2020, 56, (1), 21-57 Downloads
    See also Working Paper Optimal Portfolio Positioning on Multiple Assets Under Ambiguity, Post-Print (2020) (2020)

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
    See also Working Paper A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates, Post-Print (2019) (2019)
  2. Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market
    Economic Modelling, 2019, 80, (C), 11-22 Downloads View citations (6)
    See also Working Paper Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market, Post-Print (2019) View citations (3) (2019)
  3. Mixed-asset portfolio allocation under mean-reverting asset returns
    Annals of Operations Research, 2019, 281, (1), 65-98 Downloads View citations (2)
    See also Working Paper Mixed-asset portfolio allocation under mean-reverting asset returns, Post-Print (2018) (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 View citations (2)
    See also Working Paper On the optimality of path-dependent structured funds: The cost of standardization, Post-Print (2019) Downloads View citations (2) (2019)
  5. Preface: decision making and risk/return optimization in financial economics
    Annals of Operations Research, 2019, 281, (1), 1-2 Downloads
    See also Working Paper Preface: decision making and risk/return optimization in financial economics, Post-Print (2019) (2019)

2018

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

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

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 Equilibrium of financial derivative markets under portfolio insurance constraints, Post-Print (2016) View citations (2) (2016)
  2. Optimal funding and hiring/firing policies with mean reverting demand
    Economic Modelling, 2016, 58, (C), 569-579 Downloads
    See also Working Paper Optimal funding and hiring/firing policies with mean reverting demand, Post-Print (2016) (2016)
  3. Optimal positioning in financial derivatives under mixture distributions
    Economic Modelling, 2016, 52, (PA), 115-124 Downloads View citations (2)
    See also Working Paper Optimal positioning in financial derivatives under mixture distributions, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2016) View citations (2) (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 Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion, THEMA Working Papers (2015) Downloads (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 (3)
    See also Working Paper French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing, Post-Print (2015) View citations (2) (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 On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds), Post-Print (2015) View citations (1) (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 (21)
    See also Working Paper A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies, Working Papers (2014) Downloads View citations (21) (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 (2)
  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 (2)
    See also Working Paper On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options, Post-Print (2014) View citations (2) (2014)
  4. Portfolio insurance: Gap risk under conditional multiples
    European Journal of Operational Research, 2014, 236, (1), 238-253 Downloads View citations (21)
    See also Working Paper Portfolio insurance: Gap risk under conditional multiples, Post-Print (2014) View citations (19) (2014)

2013

  1. Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies
    Finance, 2013, 34, (1), 73-116 Downloads
    See also Working Paper Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies, Post-Print (2013) (2013)
  2. Optimal portfolio positioning under ambiguity
    Economic Modelling, 2013, 34, (C), 89-97 Downloads View citations (11)
    See also Working Paper Optimal portfolio positioning under ambiguity, Post-Print (2013) View citations (7) (2013)

2011

  1. Omega performance measure and portfolio insurance
    Journal of Banking & Finance, 2011, 35, (7), 1811-1823 Downloads View citations (58)
    See also Working Paper Omega performance measure and portfolio insurance, Post-Print (2011) View citations (47) (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 On the maximization of financial performance measures within mixture models, Post-Print (2011) View citations (3) (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 (3)
    See also Working Paper Ownership structure and stock market liquidity: evidence from Tunisia, Post-Print (2011) View citations (2) (2011)

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 (9)
    See also Working Paper A Note on Risk Aversion, Prudence and Portfolio Insurance, Post-Print (2010) View citations (9) (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 (6)
    See also Working Paper Optimal Time to Sell in Real Estate Portfolio Management, Post-Print (2009) View citations (9) (2009)
  2. Standardized versus customized portfolio: a compensating variation approach
    Annals of Operations Research, 2009, 165, (1), 161-185 Downloads View citations (13)
    See also Working Paper Standardized versus customized portfolio: a compensating variation approach, Post-Print (2009) View citations (11) (2009)

2008

  1. Utilitarianism and fairness in portfolio positioning
    Journal of Banking & Finance, 2008, 32, (8), 1648-1660 Downloads View citations (15)
    See also Working Paper Utilitarianism and fairness in portfolio positioning, Post-Print (2008) View citations (13) (2008)

2004

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

2001

  1. A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
    International Journal of Theoretical and Applied Finance (IJTAF), 2001, 04, (01), 121-146 Downloads View citations (3)
    See also Working Paper A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING, Post-Print (2011) (2011)

1999

  1. Convergence of discrete time option pricing models under stochastic interest rates
    Finance and Stochastics, 2000, 4, (1), 81-93 Downloads View citations (2)
    See also Working Paper Convergence of discrete time option pricing models under stochastic interest rates, Post-Print (2000) View citations (6) (2000)

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)
    See also Working Paper A note on the valuation of an exotic timing option, Post-Print (1997) View citations (1) (1997)

Edited books

2022

  1. Crises and Uncertainty in the Economy
    Springer Books, Springer

2008

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

Chapters

2012

  1. Estimation of Non-Gaussian Returns: The Hedge Funds Case
    A chapter in Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications, 2012, pp 247-272 Downloads

2010

  1. Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination
    A chapter in Nonlinear Modeling of Economic and Financial Time-Series, 2010, pp 83-109 Downloads
    See also Working Paper Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination, HAL (2010) (2010)
 
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