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Access Statistics for Jean-Luc Prigent

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates 0 0 0 0 0 0 1 2
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 1 1 29 0 1 2 116
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 1 63 0 0 2 287
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 20 0 0 1 89
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 0 0 0 0 2
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 0 0 0 0 7
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 104 0 0 0 239
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 20 0 0 0 21
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 326 1 2 4 1,058
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 0 0 0 0 34
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 0 0 0 0 8
A general subordinated stochastic process for the derivatives pricing 0 0 0 0 0 0 2 182
A note on the valuation of an exotic timing option 0 0 0 0 0 0 0 1
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 0 0 0 4 4
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 0 1 1,114
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 0 0 1 239
An Empirical Estimation in Credit Spread Indices 0 0 0 117 0 0 0 269
An Empirical Investigation in Credit Spread Indices 0 0 0 339 0 0 2 725
An Empirical Investigation in Credit Spread Indices 0 0 0 708 2 3 4 1,635
An Empirical Investigation in Credit Spread Indices 0 0 1 14 0 0 1 419
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 0 0 0 259
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 0 0 0 0 0 15
Behaviour towards Risk in Structured Portfolio Management 0 0 0 0 0 0 0 0
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 0 0 0 26
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 0 0 2 4
Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs 0 0 0 38 0 0 1 73
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 0 1 2 102
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 0 0 1,243
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 0 0 0
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 0 1 106
Corporate investment choice and exchange option between production functions 0 0 0 0 0 0 0 17
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 0 0 0 0 1 3
Detecting performance persistence of hedge funds 0 0 0 0 0 0 0 5
Detecting performance persistence of hedge funds 0 0 0 0 0 1 1 6
Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions 0 0 1 49 0 0 1 111
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 0 0 0 0 1 5
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 0 0 1 35
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 0 0 0 6
EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY 0 0 0 0 0 0 0 2
Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations 0 0 0 56 0 0 1 171
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 0 0 0 1 16
Firm's value under investment irreversibility, stochastic demand and general production function 0 0 0 0 0 0 0 12
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 0 0 0 0 27
Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives 0 0 0 0 0 0 4 1,051
Hedging global environment risks: An option based portfolio insurance 0 0 0 0 0 0 0 0
Hedging global environment risks: An option based portfolio insurance 0 0 0 315 0 0 0 780
Implied risk neutral probability measures on options markets: The L2 approach 0 0 0 0 0 0 1 318
Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing 0 0 0 0 0 0 1 557
Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case 0 0 0 0 0 0 0 1,016
Incomplete markets: Convergence of options values under the minimal martingale measure. The multidimensional case 0 0 0 0 0 1 1 142
Incomplete markets: convergence of options values under the minimal martingale measure 0 0 0 1 0 0 0 3
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 0 0 1 2 2
International Portfolio Optimization with Higher Moments 0 0 0 0 0 0 1 2
Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation 0 0 0 35 0 0 1 73
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 0 0 0 0 0
Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions 0 0 0 8 0 0 1 31
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 0 0 0 0 1 31
Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion 2 2 4 115 2 4 13 691
Omega performance measure and portfolio insurance 0 0 0 0 0 0 4 44
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 17 0 2 4 83
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 0 0 0 0 11
On the Stochastic Dominance of Portfolio Insurance Strategies 0 0 0 0 0 0 0 1
On the debt capacity of growth and decay options 0 0 0 26 0 0 0 97
On the diversity score: a copula approach 0 0 0 0 0 0 0 1
On the maximization of financial performance measures within mixture models 0 0 0 0 0 0 0 22
On the maximization of financial performance measures within mixture models 0 0 0 1 0 0 0 9
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 0 0 0 0 0 0 0
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 0 0 0 0 9
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 0 0 2 4
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 0 0 0 1
On the robustness of portfolio allocation under copula misspecification 0 0 0 0 0 0 1 3
Optimal Employee Ownership Contracts under Ambiguity Aversion 0 0 0 5 0 0 1 46
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 0 0 0 0 0 0
Optimal Portfolio Positioning within Generalized Johnson Distributions 0 0 0 16 0 0 0 40
Optimal Positioning in Financial Derivatives under Mixture Distributions 0 0 0 15 0 1 1 58
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 0 0 0 0 1
Optimal Time to Sell in Real Estate Portfolio Management 0 1 1 135 0 2 2 392
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 0 0 0 0 0
Optimal portfolio positioning 0 0 0 25 0 0 1 292
Optimal portfolio positioning under ambiguity 0 0 0 0 0 0 0 0
Optimal portfolio positioning within generalized Johnson distributions 0 0 0 0 0 0 0 0
Optimal portfolio under insurance constraints on the horizon wealth 0 0 0 0 0 0 1 227
Optimal portfolio: towards an operational decision support system 0 0 0 17 0 0 0 131
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 0 1 1 28
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 0 0 0 7
Optimality of portfolio insurance The extended CPPI method 0 0 0 2 0 0 0 4,459
Optimisation de portefeuille sous contrainte de variance de la tracking-error 0 0 0 0 0 0 1 30
Option Pricing with Discrete Rebalancing 0 0 0 10 0 0 0 57
Option Pricing with Discrete Rebalancing 0 0 0 312 0 0 0 682
Option Pricing with Discrete Rebalancing 0 0 0 137 0 1 1 427
Option Pricing with a General Marked Point Process 0 0 0 0 0 0 0 2
Option Pricing with a General Market Point Process 0 0 0 4 0 0 0 763
Option pricing with a general marked point process 0 0 0 2 1 1 1 460
Option pricing with discrete rebalancing 0 0 0 0 0 0 0 154
Option pricing with discrete rebalancing 0 0 0 0 0 0 0 0
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 0 2 2
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 0 1 3
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 0 1 15
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 0 0 20
Performance Participation Strategies: OBPP versus CPPP 0 0 1 2 0 1 2 3
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic 0 0 1 2 0 1 3 24
Portfolio Insurance Strategies: OBPI versus CPPI 0 0 0 0 0 1 6 72
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 0 0 0 7
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 0 0 0 15
Portfolio Insurance: The extreme Value of the CCPI Method 0 0 0 615 0 0 1 944
Portfolio Optimization within Mixture of Distributions 0 0 1 19 0 2 8 27
Portfolio Optimization within Mixture of Distributions 0 0 0 34 0 0 0 57
Portfolio insurance: Gap risk under conditional multiples 0 0 0 0 0 0 0 2
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 0 0 0 0 0
Preface: decision making and risk/return optimization in financial economics 0 0 0 0 0 1 1 1
Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula 0 0 0 0 0 0 0 802
Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID 0 0 1 89 0 0 2 299
Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion 0 0 1 9 0 0 3 32
Real Estate Portfolio Management: Optimization under Risk Aversion 0 1 1 117 0 3 7 321
Residential Real Estate in a Mixed-Asset Portfolio 0 0 0 0 0 0 0 18
Risk management decisions and value under uncertainty 0 0 0 0 0 0 0 6
Risk management of time varying floors for dynamic portfolio insurance 0 0 0 0 0 0 0 1
Standardized versus customized portfolio: a compensating variation approach 0 0 0 0 0 0 0 0
Strategies optimales d'allocation de portefeuilles internationaux avec contraintes 0 0 0 1 0 0 0 134
Structured Portfolio Analysis under SharpeOmega Ratio 0 0 0 4 0 0 1 36
Structured portfolio analysis under SharpeOmega ratio 0 0 0 15 0 0 0 55
Structured portfolio analysis under SharpeOmega ratio 0 0 0 9 0 0 0 25
Structured portfolio analysis under SharpeOmega ratio 0 0 0 26 0 0 0 73
Structured portfolio analysis under SharpeOmega ratio 0 0 0 92 0 0 0 297
The private provision of public good in the case of satiation points: The case of a quasi-linear economy 0 0 0 8 0 0 0 245
Utilitarianism and fairness in portfolio positioning 0 0 0 0 0 1 2 3
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 0 1 2 11
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 0 1 2 29
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 1 1 163
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 0 1 1 246
Total Working Papers 2 5 15 4,814 6 36 131 25,921

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates 0 1 1 4 0 1 3 33
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 1 0 0 0 9
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 19 0 0 0 95
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 1 3 30 1 2 6 124
A note on the valuation of an exotic timing option 0 0 0 1 0 0 0 13
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 1 23 0 1 8 67
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 1 14 0 1 2 48
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 0 0 0 1,221
Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange 0 0 1 12 0 0 6 117
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 0 9 0 1 3 44
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 1 1 2 2 1 2 5 10
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 15 0 0 1 65
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 30 0 2 8 93
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 15 0 0 3 50
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 1 12 0 0 2 64
Mixed-asset portfolio allocation under mean-reverting asset returns 0 1 3 14 1 4 7 44
OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION 0 0 0 3 0 0 0 37
Omega performance measure and portfolio insurance 0 0 0 100 0 2 3 504
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 5 0 1 3 43
On the maximization of financial performance measures within mixture models 0 0 0 3 0 0 2 31
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 0 0 4 0 1 1 43
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 5 0 0 0 27
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 1 5 1 1 5 19
On the robustness of portfolio allocation under copula misspecification 0 0 0 5 0 0 6 51
On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices 0 1 3 6 0 2 6 12
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 1 4 0 0 2 32
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 49 0 1 2 267
Optimal funding and hiring/firing policies with mean reverting demand 0 0 1 2 0 1 2 31
Optimal portfolio positioning under ambiguity 0 1 1 33 0 1 2 108
Optimal portfolio positioning within generalized Johnson distributions 0 0 1 3 0 0 1 27
Optimal positioning in financial derivatives under mixture distributions 0 0 0 3 0 0 0 34
Option pricing with discrete rebalancing 0 0 0 85 0 0 0 246
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 2 72 0 0 7 255
Performance Participation Strategies: OBPP versus CPPP 0 0 1 4 0 1 3 12
Portfolio insurance: Gap risk under conditional multiples 0 0 0 29 0 0 1 104
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 15 0 0 0 67
Preface: decision making and risk/return optimization in financial economics 0 0 0 1 0 1 1 16
Real estate investment: Market volatility and optimal holding period under risk aversion 0 0 1 20 0 0 2 103
Risk management decisions and value under uncertainty 1 1 2 5 1 1 3 9
Risk management of time varying floors for dynamic portfolio insurance 0 0 2 34 0 1 4 89
Standardized versus customized portfolio: a compensating variation approach 0 0 0 5 0 0 1 25
Utilitarianism and fairness in portfolio positioning 0 0 1 26 0 0 3 129
Total Journal Articles 2 7 30 1,013 5 28 114 4,418
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Statistics updated 2024-07-03