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 0 1 29 1 2 4 119
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 63 0 0 0 287
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 20 0 0 0 89
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 0 0 0 1 3
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 0 326 0 0 2 1,058
A Risk Management Approach for Portfolio Insurance Strategies 0 0 1 105 0 0 1 240
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 20 0 0 1 22
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 0 0 0 1 9
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 0 0 0 1 35
A general subordinated stochastic process for the derivatives pricing 0 0 0 0 0 0 1 183
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 2 6
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 1 1 3 241
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 0 1 1,114
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 14 0 0 0 419
An Empirical Investigation in Credit Spread Indices 0 0 0 708 0 3 6 1,638
An Empirical Investigation in Credit Spread Indices 0 0 1 340 1 1 4 729
An auto-regressive conditional binomial option pricing model 0 0 0 0 0 0 1 2
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 1 1
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 0 1 2 28
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 0 1 1 5
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 2 103
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 1 1
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 0 0 106
Corporate investment choice and exchange option between production functions 0 0 0 0 0 0 0 17
Crises and Uncertainty in the Economy 0 0 0 0 0 0 0 1
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 0 0 1 1 1 4
Detecting performance persistence of hedge funds 0 0 0 0 1 2 3 8
Detecting performance persistence of hedge funds 0 0 0 0 0 0 0 5
Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions 0 0 0 49 0 0 0 111
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 0 0 1 2 2 7
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 1 1 1 36
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 0 0 1 7
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 1 172
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 0 0 0 1 17
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 1 1 1 28
Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives 0 0 0 0 0 3 4 1,055
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 0 318
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 0 557
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 0 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 0 4 4
International Portfolio Optimization with Higher Moments 0 0 0 0 1 2 2 4
Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation 0 0 1 36 0 1 2 75
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 0 0 0 1 1
Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions 0 0 0 8 0 0 0 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 0 1 4 116 0 2 13 698
Omega performance measure and portfolio insurance 0 0 0 0 1 4 10 54
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 17 1 1 10 91
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 1 1 98
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 1 1
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 0 0 0 1 10
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 0 0 0 1
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 0 0 1 4
On the robustness of portfolio allocation under copula misspecification 0 0 0 0 0 0 2 5
Optimal Employee Ownership Contracts under Ambiguity Aversion 0 0 0 5 0 0 0 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 2 42
Optimal Positioning in Financial Derivatives under Mixture Distributions 0 0 0 15 0 0 2 59
Optimal Time to Sell in Real Estate Portfolio Management 0 0 1 135 0 0 2 392
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 0 0 0 0 1
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 0 0 0 1 1
Optimal portfolio positioning 0 0 0 25 0 1 1 293
Optimal portfolio positioning under ambiguity 0 0 0 0 0 0 1 1
Optimal portfolio positioning within generalized Johnson distributions 0 0 0 0 0 0 1 1
Optimal portfolio under insurance constraints on the horizon wealth 0 0 0 0 0 0 0 227
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 0 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 0 30
Option Pricing with Discrete Rebalancing 0 0 1 11 0 0 1 58
Option Pricing with Discrete Rebalancing 0 0 0 137 0 2 3 429
Option Pricing with Discrete Rebalancing 0 0 0 312 0 0 1 683
Option Pricing with a General Marked Point Process 0 0 0 0 0 1 1 3
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 0 1 3 462
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 1 3 6
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 1 1 3
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 1 1 16
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 0 0 20
Performance Participation Strategies: OBPP versus CPPP 0 0 0 2 0 0 2 4
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic 0 0 0 2 0 1 2 25
Portfolio Insurance Strategies: OBPI versus CPPI 0 0 0 0 0 0 3 74
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 1 1 616 0 1 2 946
Portfolio Optimization within Mixture of Distributions 0 0 0 34 0 2 2 59
Portfolio Optimization within Mixture of Distributions 0 0 0 19 1 1 5 28
Portfolio insurance: Gap risk under conditional multiples 0 0 0 0 0 1 1 3
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 0 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 0 89 0 0 0 299
Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion 0 0 0 9 0 1 1 33
Real Estate Portfolio Management: Optimization under Risk Aversion 0 0 1 117 0 0 3 321
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 margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure 0 1 4 4 0 2 10 10
Risk management of time varying floors for dynamic portfolio insurance 0 0 0 0 0 1 2 3
Standardized versus customized portfolio: a compensating variation approach 0 0 0 0 1 1 2 2
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 1 1 37
Structured portfolio analysis under SharpeOmega ratio 0 0 0 15 0 0 1 56
Structured portfolio analysis under SharpeOmega ratio 0 0 0 9 0 0 0 25
Structured portfolio analysis under SharpeOmega ratio 0 0 0 92 0 0 2 299
Structured portfolio analysis under SharpeOmega ratio 0 0 0 26 0 0 0 73
The private provision of public good in the case of satiation points: The case of a quasi-linear economy 0 0 0 8 1 1 2 247
Utilitarianism and fairness in portfolio positioning 0 0 0 0 0 0 2 4
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 2 3 4 32
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 1 1 2 12
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 1 2 164
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 0 1 2 247
Total Working Papers 0 3 16 4,824 17 58 182 26,058

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 3 6 0 1 5 36
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 1 1 1 1 10
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 19 0 1 1 96
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 1 30 0 0 3 124
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 0 23 0 0 2 67
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 2 16 1 2 10 57
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 1 1 1 1,222
Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange 0 0 0 12 0 0 1 117
Crisis and Risk Management: Recent Developments in Computational Economics 0 0 1 1 0 0 1 3
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 1 1 2 11 3 3 6 49
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 3 4 1 3 12 19
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 15 1 1 3 68
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 1 31 0 1 8 98
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 15 1 4 12 62
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 1 1 13 8 10 11 75
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 4 15 0 0 9 46
OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION 0 0 0 3 0 0 1 38
Omega performance measure and portfolio insurance 0 0 0 100 0 0 5 507
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 5 0 0 1 43
On the Hedging of Interest Rate Margins on Bank Demand Deposits 0 0 2 2 1 2 6 7
On the maximization of financial performance measures within mixture models 0 0 0 3 0 0 1 32
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 0 0 4 0 0 2 44
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 5 0 0 1 28
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 1 6 0 0 5 23
On the robustness of portfolio allocation under copula misspecification 0 0 0 5 0 0 4 54
On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices 0 0 2 7 0 1 6 16
Operational research insights on risk, resilience & dynamics of financial & economic systems 0 0 5 5 1 5 12 12
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 0 4 1 5 8 40
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 49 0 0 1 267
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 2 0 0 2 32
Optimal portfolio positioning under ambiguity 0 0 1 33 1 1 5 112
Optimal portfolio positioning within generalized Johnson distributions 0 0 1 3 0 0 2 28
Optimal positioning in financial derivatives under mixture distributions 0 0 0 3 1 1 3 37
Option pricing with discrete rebalancing 0 0 0 85 0 0 0 246
Ownership structure and stock market liquidity: evidence from Tunisia 0 2 3 75 0 2 4 259
Performance Participation Strategies: OBPP versus CPPP 0 0 0 4 1 1 2 13
Portfolio insurance: Gap risk under conditional multiples 0 0 1 30 0 2 4 108
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 15 0 0 1 68
Preface: decision making and risk/return optimization in financial economics 0 0 0 1 0 0 2 17
Real estate investment: Market volatility and optimal holding period under risk aversion 0 0 0 20 0 0 1 104
Risk management decisions and value under uncertainty 0 0 1 5 0 0 1 9
Risk management of time varying floors for dynamic portfolio insurance 0 0 0 34 0 2 5 92
Standardized versus customized portfolio: a compensating variation approach 0 0 0 5 1 1 2 27
Utilitarianism and fairness in portfolio positioning 0 0 0 26 0 0 1 130
Total Journal Articles 1 5 35 1,038 24 51 174 4,555
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 1 2 2 0 1 2 6
Estimation of Non-Gaussian Returns: The Hedge Funds Case 0 0 0 0 1 1 1 2
Total Chapters 0 1 2 2 1 2 3 8
2 registered items for which data could not be found
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Statistics updated 2025-03-03