Biblio
21 resultats trouvés
Filtres: Auteur est Jean-Luc Prigent [Clear All Filters]
Performance Participation Strategies: OBPP versus CPPPJournal article, Finance, Volume 43, Issue 1, pp. 123-150, 2022
Mixed-asset portfolio allocation under mean-reverting asset returnsJournal article, Annals of Operations Research, Volume 281, Issue 1-2, pp. 65-98, 2019
On the optimality of path-dependent structured funds: The cost of standardizationJournal article, European Journal of Operational Research, Volume 277, Issue 1, pp. 333-350, 2019
Residential real estate in a mixed-asset portfolioJournal article, Bankers, Markets & Investors, Volume 150, Issue 1, 2018
Equilibrium of financial derivative markets under portfolio insurance constraintsJournal article, Economic Modelling, Volume 52, Issue Part A, pp. 278-291, 2016
Portfolio Insurance: The Extreme Value Approach Applied to the CPPI MethodBook chapter, In: Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications, Francois Longin (Eds.), 2016-10, pp. 465-482, Wiley, 2016
French Retail Financial Structured Products: A Typology and Assessment of Their Fair PricingJournal article, Bankers, Markets & Investors, Issue 135, pp. 4-18, 2015
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)Journal article, Finance, Volume 36, Issue 2, pp. 67-105, 2015
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged StrategiesJournal article, Finance, Volume 34, Issue 1, pp. 73-116, 2013
Gestion de portefeuille : analyse quantitative et gestion structurée, 2e éd.Book, Finance, 2012-01, 381 pages, Economica, 2012
Omega performance measure and portfolio insuranceJournal article, Journal of Banking & Finance, Volume 35, Issue 7, pp. 1811-1823, 2011
A Note on Risk Aversion, Prudence and Portfolio InsuranceJournal article, The Geneva Risk and Insurance Review, Volume 35, Issue 1, pp. 81-92, 2010
Mesure de performance Oméga : applications en gestion alternative et garantieBook chapter, In: Finance d'entreprise et finance de marchés: complémentarités et nouvelles avancées, 2007, Hermes, 2007
Gestion de portefeuille : analyse quantitative et gestion structurée, 2e éd.Book, Collection Finance, 2006-09, 335 pages, Economica, 2006
Portfolio Insurance Strategies: OBPI versus CPPIJournal article, Finance, Volume 26, Issue 1, pp. 5-32, 2005
Evaluation of financial structured products: an application of the extreme value theoryJournal article, International Journal of Finance, Volume 15, pp. 2698-2708, 2003
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock Is StochasticJournal article, International Journal of Business, Volume 8, Issue 4, pp. 461-472, 2003
Méthodes d’assurance de portefeuille en présence de sauts dans la dynamique des rendementsBook chapter, In: Gestion des risques, M. Bellalah (Eds.), 2002, Economica, 2002
Portfolio Insurance: The Extreme Value Approach to the CPPI MethodJournal article, Finance, Volume 23, Issue 2, pp. 69-86, 2002
Gestion de portefeuille avec garantie: L'allocation optimale en actifs dérivésJournal article, Finance, Volume 22, Issue 1, pp. 7-35, 2001
Optimisation de portefeuille sous contrainte de variance de la tracking-errorJournal article, Bankers, Markets & Investors, Volume 54, 2000
