Jean-Luc Prigent
Names
| first: |
Jean-Luc |
| last: |
Prigent |
Identifer
Contact
| phone: |
+33(1) 34 25 61 72 |
| postal address: |
University of Cergy-Pontoise
33, Bd du Port
95011 CERGY-PONTOISE
FRANCE |
Affiliations
-
Université de Cergy-Pontoise
/ Théorie Économique, Modélisation, Application (THEMA)
Research profile
author of:
- Optimal Employee Ownership Contracts Under Ambiguity Aversion (RePEc:bla:ecinqu:v:56:y:2018:i:1:p:238-251)
by Nicolas Aubert & Hachmi Ben Ameur & Guillaume Garnotel & Jean‐Luc Prigent - Duration Models For Credit Rating Migration: Evidence From The Financial Crisis (RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886)
by Myriam Ben Ayed & Adel Karaa & Jean‐Luc Prigent - On the maximization of financial performance measures within mixture models (RePEc:bpj:strimo:v:28:y:2011:i:1:p:63-80:n:5)
by Hentati Rania & Prigent Jean-Luc - Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies (RePEc:cai:finpug:fina_341_0073)
by Philippe Bertrand & Jean-Luc Prigent - On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) (RePEc:cai:finpug:fina_362_0067)
by Philippe Bertrand & Jean-Luc Prigent - Performance Participation Strategies: OBPP versus CPPP (RePEc:cai:finpug:fina_431_0123)
by Philippe Bertrand & Jean-Luc Prigent - The private provision of public good in the case of satiation points: The case of a quasi-linear economy (RePEc:cor:louvco:1992034)
by Trannoy, A. & Caralp, B. & Prigent, J.L. & Richelle, Y. - An Empirical Investigation in Credit Spread Indices (RePEc:crs:wpaper:2000-59)
by Jean -Luc Prigent & Olivier Renault & Olivier Scaillet - Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates (RePEc:crs:wpaper:98-51)
by Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet - Option Pricing with Discrete Rebalancing (RePEc:crs:wpaper:99-61)
by Jean -Luc Prigent & Olivier Renault & Olivier Scaillet - An Autoregressive Conditional Binomial Option Pricing Model (RePEc:crs:wpaper:99-65)
by Jean -Luc Prigent & Olivier Renault & Olivier Scaillet - Option Pricing with Discrete Rebalancing (RePEc:ctl:louvir:1999029)
by Prigent, J.-L. & Renault, O. & Scaillet, O. - An Empirical Investigation in Credit Spread Indices (RePEc:ctl:louvir:2000028)
by Prigent, J.-L. & Renault, O. & Scaillet, O. - A dynamic autoregressive expectile for time-invariant portfolio protection strategies (RePEc:eee:dyncon:v:46:y:2014:i:c:p:1-29)
by Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc - Optimal portfolio positioning under ambiguity (RePEc:eee:ecmode:v:34:y:2013:i:c:p:89-97)
by Ameur, H. Ben & Prigent, J.L. - On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options (RePEc:eee:ecmode:v:40:y:2014:i:c:p:410-422)
by Letifi, N. & Prigent, J.-L. - Optimal positioning in financial derivatives under mixture distributions (RePEc:eee:ecmode:v:52:y:2016:i:pa:p:115-124)
by Hentati-Kaffel, R. & Prigent, J.-L. - Equilibrium of financial derivative markets under portfolio insurance constraints (RePEc:eee:ecmode:v:52:y:2016:i:pa:p:278-291)
by Bertrand, Philippe & Prigent, Jean-luc - Real estate investment: Market volatility and optimal holding period under risk aversion (RePEc:eee:ecmode:v:58:y:2016:i:c:p:543-555)
by Amédée-Manesme, Charles-Olivier & Barthélémy, Fabrice & Prigent, Jean-Luc - Optimal funding and hiring/firing policies with mean reverting demand (RePEc:eee:ecmode:v:58:y:2016:i:c:p:569-579)
by Bouasker, O. & Letifi, N. & Prigent, J.-L. - Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds (RePEc:eee:ecmode:v:67:y:2017:i:c:p:228-247)
by Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes - Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market (RePEc:eee:ecmode:v:80:y:2019:i:c:p:11-22)
by Hu, Yingyi & Prigent, Jean-Luc - Portfolio insurance: Gap risk under conditional multiples (RePEc:eee:ejores:v:236:y:2014:i:1:p:238-253)
by Ben Ameur, H. & Prigent, J.L. - Risk management of time varying floors for dynamic portfolio insurance (RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381)
by Ben Ameur, H. & Prigent, J.-L. - On the optimality of path-dependent structured funds: The cost of standardization (RePEc:eee:ejores:v:277:y:2019:i:1:p:333-350)
by Bertrand, Philippe & Prigent, Jean-luc - Option pricing with discrete rebalancing (RePEc:eee:empfin:v:11:y:2004:i:1:p:133-161)
by Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier - Dynamic connectedness and optimal hedging strategy among commodities and financial indices (RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002460)
by Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc - Utilitarianism and fairness in portfolio positioning (RePEc:eee:jbfina:v:32:y:2008:i:8:p:1648-1660)
by de Palma, André & Prigent, Jean-Luc - Omega performance measure and portfolio insurance (RePEc:eee:jbfina:v:35:y:2011:i:7:p:1811-1823)
by Bertrand, Philippe & Prigent, Jean-luc - An auto-regressive conditional binomial option pricing model (RePEc:ehl:lserod:119095)
by Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier - Structured Portfolio Analysis under SharpeOmega Ratio (RePEc:ekd:002596:259600073)
by Rania HENTATI & Jean-Luc PRIGENT - Strategies optimales d'allocation de portefeuilles internationaux avec contraintes (RePEc:ema:worpap:2000-32)
by F. Barthelemy & M. Mokrane & J-L Prigent - Portfolio Insurance : The extreme Value of the CCPI Method (RePEc:ema:worpap:2000-49)
by P. Bertrand & J.L. Prigent - Weak Convergence of Hedging Strategies of Contingent Claims (RePEc:ema:worpap:2000-50)
by J.L. Prigent & O. Scaillet - An Empirical Estimation in Credit Spread Indices (RePEc:ema:worpap:2000-51)
by J.L. Prigent & O. Renault & O.Scaillet - Optimal portfolio positioning (RePEc:ema:worpap:2003-24)
by M. Prigent & M. De Palma - Optimal portfolio : towards an operational decision support system (RePEc:ema:worpap:2003-25)
by M. Prigent & M. De Palma - Hedging global environment risks: An option based portfolio insurance (RePEc:ema:worpap:2007-09)
by André de Palma & Jean-Luc Prigent - Optimal Time to Sell in Real Estate Portfolio Management (RePEc:ema:worpap:2008-13)
by Fabrice Barthélémy & Jean-Luc Prigent - Real Estate Portfolio Management : Optimization under Risk Aversion (RePEc:ema:worpap:2011-12)
by Fabrice Barthelemy & Jean-Luc Prigent - Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion (RePEc:ema:worpap:2015-21)
by Fabrice Barthélémy & Charles-Olivier Amédée-Manesme & Jean-Luc Prigent - Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion (RePEc:ema:worpap:2017-20)
by Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane - Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure (RePEc:ema:worpap:2023-22)
by Killian Pluzanski & Jean-Luc Prigent - A general subordinated stochastic process for the derivatives pricing (RePEc:ema:worpap:96-29)
by J.-Ph. Lesne & J-L. Prigent - Implied risk neutral probability measures on options markets : The L2 approach (RePEc:ema:worpap:96-30)
by F. Magnien & J.-L. Prigent & A. Trannoy - Convergence of discrete time options pricing models under stochastic (RePEc:ema:worpap:97-34)
by J. P. Lesne & J. L. Prigent & O. Scaillet - Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case (RePEc:ema:worpap:97-35)
by J. L. Prigent - Option pricing with a general marked point process (RePEc:ema:worpap:97-36)
by J. L. Prigent - An autoregressive conditional binomial option pricing model under stochastic rates (RePEc:ema:worpap:99-40)
by J.L. Prigent & O. Renault & O. Scaillet. - Option pricing with discrete rebalancing (RePEc:ema:worpap:99-41)
by J.L. Prigent & O. Renault & O. Scaillet. - Optimal portfolio under insurance constraints on the horizon wealth (RePEc:ema:worpap:99-47)
by J.L. Prigent - Optimality of portfolio insurance The extended CPPI method (RePEc:ema:worpap:99-48)
by J.L. Prigent - Unknown item RePEc:eme:isete1:s1571-0386(2010)0000020009 (chapter)
- Unknown item RePEc:eme:isete1:s1571-0386(2012)0000022018 (chapter)
- Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination (RePEc:eme:isetez:s1571-0386(2010)0000020009)
by Rania Hentati & Jean-Luc Prigent - Estimation of Non-Gaussian Returns: The Hedge Funds Case (RePEc:eme:isetez:s1571-0386(2012)0000022018)
by Naceur Naguez & Jean-Luc Prigent - Weak Convergence of Hedging Strategies of Contingent Claims (RePEc:fam:rpseri:rp39)
by Jean-Luc PRIGENT & Olivier SCAILLET - Option Pricing with Discrete Rebalancing (RePEc:fam:rpseri:rp55)
by Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET - An Empirical Investigation in Credit Spread Indices (RePEc:fmg:fmgdps:dp363)
by Olivier Scaillet & Olivier Renault & Jean-Luc Prigent - An Autoregressive Conditional Binomial Option Pricing Model (RePEc:fmg:fmgdps:dp364)
by Olivier Renault & Jean-Luc Prigent & Olivier Scaillet - Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives (RePEc:fth:aixmeq:00a03)
by Bertrand, P. & lesne, J.-P. & Prigent, J.-L. - Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula (RePEc:fth:pnegmi:9525)
by Prigent, J.L. - Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing (RePEc:fth:pnegmi:9526)
by Prigent, J.L. - Convergence of Discrete Time Options Pricing Models under Stochastic Rates (RePEc:fth:pnegmi:9734)
by Lesne, J.P. & Prigent, J.L. & Scaillet, O. - Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case (RePEc:fth:pnegmi:9735)
by Prigent, J.L. - Option Pricing with a General Market Point Process (RePEc:fth:pnegmi:9736)
by Prigent, J.L. - Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination (RePEc:hal:cesptp:hal-00607102)
by Rania Hentati & Jean-Luc Prigent - Portfolio Optimization Within Mixture Of Distributions (RePEc:hal:cesptp:hal-00607105)
by Rania Hentati & Jean-Luc Prigent - On the maximization of financial performance measures within mixture models (RePEc:hal:cesptp:hal-00608960)
by Rania Hentati & Jean-Luc Prigent - VaR and Omega measures for hedge funds portfolios: A copula approach (RePEc:hal:cesptp:hal-00608961)
by Rania Hentati & Jean-Luc Prigent - Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures (RePEc:hal:cesptp:hal-00608962)
by Rania Hentati & Ameur Kaffel & Jean-Luc Prigent - Structured portfolio analysis under SharpeOmega ratio (RePEc:hal:cesptp:hal-00657327)
by Rania Hentati & Jean-Luc Prigent - Portfolio Optimization within Mixture of Distributions (RePEc:hal:cesptp:hal-01066105)
by Rania Hentati-Kaffel & Jean-Luc Prigent - Optimal positioning in financial derivatives under mixture distributions (RePEc:hal:cesptp:hal-01299840)
by Rania Hentati & Jean-Luc Prigent - Detecting performance persistence of hedge funds (RePEc:hal:cesptp:hal-03045892)
by Rania Hentati & Philippe de Peretti - Ownership structure and stock market liquidity: evidence from Tunisia (RePEc:hal:cesptp:hal-03679711)
by Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent - A Risk Management Approach for Portfolio Insurance Strategies (RePEc:hal:cesptp:halshs-00389789)
by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent - Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination (RePEc:hal:journl:hal-00607102)
by Rania Hentati & Jean-Luc Prigent - Portfolio Optimization Within Mixture Of Distributions (RePEc:hal:journl:hal-00607105)
by Rania Hentati & Jean-Luc Prigent - On the maximization of financial performance measures within mixture models (RePEc:hal:journl:hal-00608960)
by Rania Hentati & Jean-Luc Prigent - VaR and Omega measures for hedge funds portfolios: A copula approach (RePEc:hal:journl:hal-00608961)
by Rania Hentati & Jean-Luc Prigent - Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures (RePEc:hal:journl:hal-00608962)
by Rania Hentati & Ameur Kaffel & Jean-Luc Prigent - Firm's value under investment irreversibility, stochastic demand and general production function (RePEc:hal:journl:hal-00803196)
by O. Bouasker & J.L. Prigent - Corporate investment choice and exchange option between production functions (RePEc:hal:journl:hal-00803200)
by O. Bouasker & J.L. Prigent - Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions (RePEc:hal:journl:hal-01242023)
by Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani - Optimal positioning in financial derivatives under mixture distributions (RePEc:hal:journl:hal-01299840)
by Rania Hentati & Jean-Luc Prigent - Omega performance measure and portfolio insurance (RePEc:hal:journl:hal-01445954)
by Philippe Bertrand & Jean-Luc Prigent - A dynamic autoregressive expectile for time-invariant portfolio protection strategies (RePEc:hal:journl:hal-01697643)
by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent - A Note on Risk Aversion, Prudence and Portfolio Insurance (RePEc:hal:journl:hal-01833054)
by Philippe Bertrand & Jean-Luc Prigent - Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies (RePEc:hal:journl:hal-01833059)
by Philippe Bertrand & Jean-Luc Prigent - Evaluation Of Financial Structured Products: An Application Of The Extreme Value Theory (RePEc:hal:journl:hal-01833069)
by Philippe Bertrand & Jean-Luc Prigent - Equilibrium of financial derivative markets under portfolio insurance constraints (RePEc:hal:journl:hal-01833070)
by Philippe Bertrand & Jean-Luc Prigent - On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) (RePEc:hal:journl:hal-01833074)
by Philippe Bertrand & Jean-Luc Prigent - Portfolio Insurance Strategies: OBPI versus CPPI (RePEc:hal:journl:hal-01833077)
by Philippe Bertrand & Jean-Luc Prigent - French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing (RePEc:hal:journl:hal-01833084)
by Philippe Bertrand & Jean-Luc Prigent - Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic (RePEc:hal:journl:hal-01833118)
by Philippe Bertrand & Jean-Luc Prigent - Portfolio Insurance: The Extreme Value Theory of the Cppi Method (RePEc:hal:journl:hal-01833122)
by Philippe Bertrand & Jean-Luc Prigent - Portfolio Insurance: The Extreme Value Theory of the Cppi Method (RePEc:hal:journl:hal-01833134)
by Philippe Bertrand & Jean-Luc Prigent & Jean-Pierre Lesne - Optimisation de portefeuille sous contrainte de variance de la tracking-error (RePEc:hal:journl:hal-01833150)
by Philippe Bertrand & Jean-Luc Prigent & Raphael Sobotka - Mixed-asset portfolio allocation under mean-reverting asset returns (RePEc:hal:journl:hal-01955220)
by Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent - Residential Real Estate in a Mixed-Asset Portfolio (RePEc:hal:journl:hal-01955228)
by Philippe Bertrand & Jean-Luc Prigent - A dynamic autoregressive expectile for time-invariant portfolio protection strategies (RePEc:hal:journl:hal-02312331)
by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent - On the optimality of path-dependent structured funds: The cost of standardization (RePEc:hal:journl:hal-02492961)
by Philippe Bertrand & Jean-Luc Prigent - Detecting performance persistence of hedge funds (RePEc:hal:journl:hal-03045892)
by Rania Hentati & Philippe de Peretti - Performance Participation Strategies: OBPP versus CPPP (RePEc:hal:journl:hal-03672691)
by Philippe Bertrand & Jean-Luc Prigent - On the risk management of demand deposits: quadratic hedging of interest rate margins (RePEc:hal:journl:hal-03676446)
by Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent - On the risk management of demand deposits: quadratic hedging of interest rate margins (RePEc:hal:journl:hal-03679403)
by Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent - Risk management decisions and value under uncertainty (RePEc:hal:journl:hal-03679406)
by Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent - Duration Models For Credit Rating Migration: Evidence From The Financial Crisis (RePEc:hal:journl:hal-03679407)
by Myriam Ben Ayed & Adel Karaa & Jean-Luc Prigent - Risk management of time varying floors for dynamic portfolio insurance (RePEc:hal:journl:hal-03679408)
by H. Ben Ameur & Jean-Luc Prigent - Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market (RePEc:hal:journl:hal-03679410)
by Yingyi Hu & Jean-Luc Prigent - About Long-Term Cross-Currency Bermuda Swaption Pricing (RePEc:hal:journl:hal-03679412)
by Bünyamin Erkan & Jean-Luc Prigent - A note on the valuation of an exotic timing option (RePEc:hal:journl:hal-03679521)
by Mondher Bellalah & Jean-Luc Prigent - Incomplete markets: convergence of options values under the minimal martingale measure (RePEc:hal:journl:hal-03679524)
by Jean-Luc Prigent - Optimal funding and hiring/firing policies with mean reverting demand (RePEc:hal:journl:hal-03679612)
by O. Bouasker & N. Letifi & Jean-Luc Prigent - Convergence of discrete time option pricing models under stochastic interest rates (RePEc:hal:journl:hal-03679673)
by J.-P. Lesne & Jean-Luc Prigent & O. Scaillet - Option Pricing with a General Marked Point Process (RePEc:hal:journl:hal-03679678)
by Jean-Luc Prigent - A General Subordinated Stochastic Process For Derivatives Pricing (RePEc:hal:journl:hal-03679685)
by J. Lesne & Jean-Luc Prigent - Option pricing with discrete rebalancing (RePEc:hal:journl:hal-03679686)
by Jean-Luc Prigent & Olivier Renault & Olivier Scaillet - A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates (RePEc:hal:journl:hal-03679690)
by Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid - Optimal Portfolio Positioning on Multiple Assets Under Ambiguity (RePEc:hal:journl:hal-03679693)
by Hachmi Ben Ameur & Mouna Boujelbène & Jean-Luc Prigent & Emna Triki - Preface: decision making and risk/return optimization in financial economics (RePEc:hal:journl:hal-03679695)
by Farid Aitsahlia & Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent - Preface: Risk management decisions and wealth management in Financial Economics (RePEc:hal:journl:hal-03679696)
by Hatem Ben Ameur & Ephraim Clark & André de Palma & Jean-Luc Prigent - On the robustness of portfolio allocation under copula misspecification (RePEc:hal:journl:hal-03679698)
by Abdallah Ben Saida & Jean-Luc Prigent - Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds (RePEc:hal:journl:hal-03679700)
by Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid - Optimal portfolio positioning within generalized Johnson distributions (RePEc:hal:journl:hal-03679701)
by N. Naguez & Jean-Luc Prigent - On the diversity score: a copula approach (RePEc:hal:journl:hal-03679703)
by Abdallah Ben Saïda & Jean-Luc Prigent - On the Stochastic Dominance of Portfolio Insurance Strategies (RePEc:hal:journl:hal-03679704)
by Hela Maalej & Jean-Luc Prigent - Portfolio insurance: Gap risk under conditional multiples (RePEc:hal:journl:hal-03679707)
by Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent - On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options (RePEc:hal:journl:hal-03679708)
by N. Letifi & Jean-Luc Prigent - Optimal portfolio positioning under ambiguity (RePEc:hal:journl:hal-03679709)
by Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent - Ownership structure and stock market liquidity: evidence from Tunisia (RePEc:hal:journl:hal-03679711)
by Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent - International Portfolio Optimization with Higher Moments (RePEc:hal:journl:hal-03679712)
by Maroua Mhiri & Jean-Luc Prigent - Behaviour towards Risk in Structured Portfolio Management (RePEc:hal:journl:hal-03679713)
by Jean-Luc Prigent & Hachmi Ben Ameur & Jean Luc Prigent - Optimal Time to Sell in Real Estate Portfolio Management (RePEc:hal:journl:hal-03679715)
by Fabrice Barthélémy & Jean-Luc Prigent - Utilitarianism and fairness in portfolio positioning (RePEc:hal:journl:hal-03679716)
by André de Palma & Jean-Luc Prigent - Standardized versus customized portfolio: a compensating variation approach (RePEc:hal:journl:hal-03679717)
by André de Palma & Jean-Luc Prigent - Hedging global environment risks: An option based portfolio insurance (RePEc:hal:journl:hal-03679719)
by André de Palma & Jean-Luc Prigent - Dynamic connectedness and optimal hedging strategy among commodities and financial indices (RePEc:hal:journl:hal-03745047)
by Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent - Crises and Uncertainty in the Economy (RePEc:hal:journl:hal-04263649)
by Hachmi Ben Ameur & Zied Ftiti & Wael Louhichi & Jean-Luc Prigent - A Risk Management Approach for Portfolio Insurance Strategies (RePEc:hal:journl:halshs-00389789)
by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent - Optimal Employee Ownership Contracts under Ambiguity Aversion (RePEc:hal:journl:halshs-01492391)
by Nicolas Aubert & Benameur Hachmi & Guillaume Garnotel & Jean-Luc Prigent - Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID (RePEc:hal:wpaper:hal-00418892)
by André de Palma & Nathalie Picard & Jean-Luc Prigent - Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations (RePEc:hal:wpaper:hal-00517726)
by André de Palma & Nathalie Picard & Jean-Luc Prigent - Structured portfolio analysis under SharpeOmega ratio (RePEc:hal:wpaper:hal-00657327)
by Rania Hentati & Jean-Luc Prigent - Portfolio Optimization within Mixture of Distributions (RePEc:hal:wpaper:hal-01066105)
by Rania Hentati-Kaffel & Jean-Luc Prigent - A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (RePEc:hal:wpaper:halshs-01015390)
by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent - Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange (RePEc:hur:ijaraf:v:4:y:2014:i:2:p:58-71)
by Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent - Ownership structure and stock market liquidity: evidence from Tunisia (RePEc:ids:injmfa:v:3:y:2011:i:1:p:91-109)
by Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent - Unknown item RePEc:inm:ormoor:v:26:y:2001:i:1:p:50-66 (article)
- A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (RePEc:ipg:wpaper:2014-131)
by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent - Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation (RePEc:ipg:wpaper:2014-301)
by Farid Mkouar & Jean-Luc Prigent - Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs (RePEc:ipg:wpaper:2014-303)
by Farid MKAOUAR & Jean-luc PRIGENT - Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions (RePEc:ipg:wpaper:2014-329)
by Naceur Naguez & Jean-Luc Prigent - Optimal Portfolio Positioning within Generalized Johnson Distributions (RePEc:ipg:wpaper:2014-336)
by Naceur Naguez & Jean-Luc Prigent - Optimal Positioning in Financial Derivatives under Mixture Distributions (RePEc:ipg:wpaper:2014-347)
by R. Hentati-Kaffel & J.L. Prigent - On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) (RePEc:ipg:wpaper:2014-348)
by Philippe Bertrand & Jean-luc Prigent - On the debt capacity of growth and decay options (RePEc:ipg:wpaper:2014-391)
by N. Letifi & J.-L. Prigent - Structured portfolio analysis under SharpeOmega ratio (RePEc:ipg:wpaper:2014-425)
by Rania Hentati-KAFFEL & Jean-Luc Prigent - A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates (RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9742-0)
by Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid - Optimal Portfolio Positioning on Multiple Assets Under Ambiguity (RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09894-y)
by Hachmi Ben Ameur & Mouna Boujelbène & J. L. Prigent & Emna Triki - About Long-Term Cross-Currency Bermuda Swaption Pricing (RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09899-7)
by Bünyamin Erkan & Jean-Luc Prigent - Crisis and Risk Management: Recent Developments in Computational Economics (RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-023-10419-x)
by Zied Ftiti & Jean-Luc Prigent - On the Hedging of Interest Rate Margins on Bank Demand Deposits (RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10287-x)
by Hamza Cherrat & Jean-Luc Prigent - Optimal Time to Sell in Real Estate Portfolio Management (RePEc:kap:jrefec:v:38:y:2009:i:1:p:59-87)
by Fabrice Barthélémy & Jean-Luc Prigent - A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (RePEc:leo:wpaper:164)
by Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT - A Risk Management Approach for Portfolio Insurance Strategies (RePEc:mse:cesdoc:09034)
by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent - Structured portfolio analysis under SharpeOmega ratio (RePEc:mse:cesdoc:12002)
by Rania Hentati-Kaffel & Jean-Luc Prigent - A Note on Risk Aversion, Prudence and Portfolio Insurance (RePEc:pal:genrir:v:35:y:2010:i:1:p:81-92)
by Philippe Bertrand & Jean-Luc Prigent - French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing (RePEc:rbq:journl:i:135:p:4-18)
by Philippe Bertrand & Jean-Luc Prigent - Standardized versus customized portfolio: a compensating variation approach (RePEc:spr:annopr:v:165:y:2009:i:1:p:161-185:10.1007/s10479-008-0447-6)
by André Palma & Jean-Luc Prigent - On the robustness of portfolio allocation under copula misspecification (RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2137-0)
by Abdallah Ben Saida & Jean-luc Prigent - Preface: Risk management decisions and wealth management in Financial Economics (RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-018-2767-5)
by Hatem Ben Ameur & Ephraim Clark & André Palma & Jean-Luc Prigent - Mixed-asset portfolio allocation under mean-reverting asset returns (RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2761-y)
by Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent - Preface: decision making and risk/return optimization in financial economics (RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-019-03332-w)
by Farid AitSahlia & Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent - On the risk management of demand deposits: quadratic hedging of interest rate margins (RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03726-1)
by Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent - Risk management decisions and value under uncertainty (RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-022-04746-9)
by Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent - Operational research insights on risk, resilience & dynamics of financial & economic systems (RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-024-05869-x)
by Hachmi Ben Ameur & Ephraim Clark & Zied Ftiti & Jean-Luc Prigent - Convergence of discrete time option pricing models under stochastic interest rates (RePEc:spr:finsto:v:4:y:2000:i:1:p:81-93)
by O. Scaillet & J.-L. Prigent & J.-P. Lesne - Crises and Uncertainty in the Economy (RePEc:spr:sprbok:978-981-19-3296-0)
by None - On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices (RePEc:taf:applec:v:55:y:2023:i:1:p:20-42)
by Haifa Boussada & Jean-Luc Prigent & Ibrahima Soumare - Optimal portfolio positioning within generalized Johnson distributions (RePEc:taf:quantf:v:17:y:2017:i:7:p:1037-1055)
by N. Naguez & J. L. Prigent - A note on the valuation of an exotic timing option (RePEc:wly:jfutmk:v:17:y:1997:i:4:p:483-487)
by Mondher Bellalah & Jean‐Luc Prigent - A General Subordinated Stochastic Process For Derivatives Pricing (RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000894)
by J. L. Lesne & J. L. Prigent - Risk Management and Value:Valuation and Asset Pricing (RePEc:wsi:wsbook:6574)
by None