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 2 3 9 13
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 29 1 5 25 144
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 1 21 2 3 18 108
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 63 1 2 11 298
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 0 1 1 8 11
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 0 2 2 9 16
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 326 1 1 16 1,077
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 105 1 1 8 254
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 20 2 3 12 34
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 0 1 1 18 28
A general subordinated stochastic process for the derivatives pricing 0 0 0 0 1 1 6 191
A note on the valuation of an exotic timing option 0 0 0 0 1 1 5 7
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 0 3 5 13 19
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 2 3 6 1,120
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 0 2 18 260
An Empirical Estimation in Credit Spread Indices 0 0 0 117 1 1 9 278
An Empirical Investigation in Credit Spread Indices 0 0 1 710 1 2 8 1,649
An Empirical Investigation in Credit Spread Indices 0 0 0 14 0 0 7 426
An Empirical Investigation in Credit Spread Indices 0 0 0 340 2 3 16 747
An auto-regressive conditional binomial option pricing model 0 0 0 0 3 3 9 12
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 3 5 14 273
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 0 0 5 6 8 24
Behaviour towards Risk in Structured Portfolio Management 0 0 0 0 0 0 5 7
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 3 3 6 34
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 1 1 6 11
Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs 0 0 2 40 4 5 15 90
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 1 2 21 125
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 1 1 19 1,262
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 1 2 7 8
Convergence of discrete time options pricing models under stochastic 0 0 0 0 4 4 12 118
Corporate investment choice and exchange option between production functions 0 0 0 0 3 3 5 22
Crises and Uncertainty in the Economy 0 0 0 0 1 1 6 7
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 0 0 4 4 9 13
Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions 0 0 0 49 0 0 3 116
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 0 0 3 3 8 17
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 0 0 3 10
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 2 3 8 44
EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY 0 0 0 0 3 3 9 12
Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations 0 0 0 56 0 0 6 179
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 0 1 1 12 29
Firm's value under investment irreversibility, stochastic demand and general production function 0 0 0 0 4 4 7 19
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 0 1 2 5 35
Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives 0 0 0 0 0 0 4 1,064
Hedging global environment risks: An option based portfolio insurance 0 0 0 315 3 3 13 794
Hedging global environment risks: An option based portfolio insurance 0 0 0 0 2 2 10 10
Implied risk neutral probability measures on options markets: The L2 approach 0 0 0 0 3 4 9 327
Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing 0 0 0 0 2 5 12 569
Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case 0 0 0 0 4 6 10 1,027
Incomplete markets: Convergence of options values under the minimal martingale measure. The multidimensional case 0 0 0 0 1 2 13 157
Incomplete markets: convergence of options values under the minimal martingale measure 0 0 0 1 1 1 8 12
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 0 1 1 9 15
International Portfolio Optimization with Higher Moments 0 0 0 0 2 3 8 12
Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation 0 0 0 36 4 5 11 87
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 0 2 3 7 9
Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions 0 0 0 8 2 2 9 43
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 0 0 1 1 10 42
Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion 0 0 3 119 1 1 39 745
Omega performance measure and portfolio insurance 0 0 0 0 1 1 9 63
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 0 2 2 17 28
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 17 2 3 27 123
On the Stochastic Dominance of Portfolio Insurance Strategies 0 0 0 0 3 4 9 10
On the debt capacity of growth and decay options 0 0 0 26 2 2 8 107
On the diversity score: a copula approach 0 0 0 0 1 1 1 2
On the maximization of financial performance measures within mixture models 0 0 0 1 2 2 8 18
On the maximization of financial performance measures within mixture models 0 0 0 0 1 1 8 30
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 0 0 0 1 1 4 6
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 0 1 3 9 20
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 2 2 6 7
On the robustness of portfolio allocation under copula misspecification 0 0 0 0 1 2 12 17
Optimal Employee Ownership Contracts under Ambiguity Aversion 0 0 0 5 3 3 9 56
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 0 0 1 1 12 13
Optimal Portfolio Positioning within Generalized Johnson Distributions 0 0 0 17 1 1 5 51
Optimal Positioning in Financial Derivatives under Mixture Distributions 0 0 0 15 0 1 9 69
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 135 3 3 11 403
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 0 1 2 9 11
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 0 1 1 3 5
Optimal portfolio positioning 0 0 0 25 0 0 5 300
Optimal portfolio positioning under ambiguity 0 0 0 0 3 4 10 11
Optimal portfolio positioning within generalized Johnson distributions 0 0 0 0 1 1 26 27
Optimal portfolio under insurance constraints on the horizon wealth 0 0 0 0 1 2 3 230
Optimal portfolio: towards an operational decision support system 0 0 0 17 2 2 5 138
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 2 2 8 37
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 2 3 7 15
Optimality of portfolio insurance The extended CPPI method 0 0 0 2 1 3 7 4,467
Optimisation de portefeuille sous contrainte de variance de la tracking-error 0 0 0 0 1 1 13 48
Option Pricing with Discrete Rebalancing 0 0 0 312 0 2 10 693
Option Pricing with Discrete Rebalancing 0 0 0 11 1 2 10 68
Option Pricing with Discrete Rebalancing 0 0 0 137 1 2 15 445
Option Pricing with a General Marked Point Process 0 0 0 0 1 2 6 12
Option Pricing with a General Market Point Process 0 0 0 4 2 2 8 772
Option pricing with a general marked point process 0 0 0 2 0 2 8 471
Option pricing with discrete rebalancing 0 0 0 0 1 2 12 166
Option pricing with discrete rebalancing 1 1 1 1 2 3 10 10
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 0 1 5
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 2 3 11 19
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 1 4 24
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 1 1 3 20
Performance Participation Strategies: OBPP versus CPPP 0 0 0 4 5 5 11 17
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic 0 0 0 2 1 1 13 38
Portfolio Insurance Strategies: OBPI versus CPPI 0 0 0 0 5 8 18 95
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 3 3 9 24
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 4 4 8 16
Portfolio Insurance: The extreme Value of the CCPI Method 0 0 0 617 2 3 9 958
Portfolio Optimization within Mixture of Distributions 0 0 0 34 0 0 5 68
Portfolio Optimization within Mixture of Distributions 0 0 0 19 0 0 7 36
Portfolio insurance: Gap risk under conditional multiples 0 0 0 0 1 2 11 17
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 0 1 2 7 8
Preface: decision making and risk/return optimization in financial economics 0 0 0 0 1 1 2 4
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 5 807
Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID 0 0 0 89 6 6 14 313
Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion 0 0 0 9 6 8 39 74
Real Estate Portfolio Management: Optimization under Risk Aversion 0 0 0 119 1 2 12 335
Residential Real Estate in a Mixed-Asset Portfolio 0 0 0 0 3 4 7 25
Risk management decisions and value under uncertainty 0 0 0 0 2 2 7 13
Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure 0 0 2 7 6 7 21 39
Risk management of time varying floors for dynamic portfolio insurance 0 0 0 0 4 5 12 16
Standardized versus customized portfolio: a compensating variation approach 0 0 0 0 1 2 6 8
Strategies optimales d'allocation de portefeuilles internationaux avec contraintes 0 0 0 1 1 66 72 206
Structured Portfolio Analysis under SharpeOmega Ratio 0 0 0 4 2 5 14 53
Structured portfolio analysis under SharpeOmega ratio 0 0 0 9 4 6 14 40
Structured portfolio analysis under SharpeOmega ratio 0 0 0 15 3 3 13 70
Structured portfolio analysis under SharpeOmega ratio 0 0 0 26 3 3 10 86
Structured portfolio analysis under SharpeOmega ratio 0 0 0 92 2 2 13 315
The private provision of public good in the case of satiation points: The case of a quasi-linear economy 0 0 0 8 2 3 7 256
Utilitarianism and fairness in portfolio positioning 0 0 0 0 1 1 8 15
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 3 4 8 40
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 1 1 7 19
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 1 1 15 262
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 3 3 4 169
Total Working Papers 1 1 10 4,842 233 374 1,363 27,519
4 registered items for which data could not be found

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 7 1 2 15 54
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 1 1 1 5 16
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 19 0 1 11 107
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 2 32 2 5 19 148
A note on the valuation of an exotic timing option 0 0 1 2 2 2 4 18
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 23 3 4 12 82
An empirical investigation into credit spread indices 0 0 1 3 1 1 20 27
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 0 18 3 6 85 147
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 2 3 14 1,236
Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange 0 0 0 12 3 4 13 132
Crisis and Risk Management: Recent Developments in Computational Economics 0 0 0 1 2 2 7 12
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 1 13 2 3 13 66
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 0 7 2 3 17 43
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 15 0 0 19 95
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 31 2 2 8 112
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 15 1 2 11 74
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 13 4 5 20 102
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 1 17 2 3 14 66
OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION 0 0 0 3 0 1 12 52
Omega performance measure and portfolio insurance 0 0 1 102 2 3 13 525
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 5 0 0 17 61
On the Hedging of Interest Rate Margins on Bank Demand Deposits 0 0 1 4 1 1 9 23
On the maximization of financial performance measures within mixture models 0 0 0 3 1 1 6 39
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 0 1 5 2 2 13 59
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 6 1 2 12 42
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 1 8 2 3 12 38
On the robustness of portfolio allocation under copula misspecification 0 0 0 5 0 0 15 74
On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices 0 0 1 10 4 5 10 34
Operational research insights on risk, resilience & dynamics of financial & economic systems 0 0 0 6 1 2 8 26
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 0 7 0 1 7 56
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 49 1 2 13 284
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 2 3 4 14 48
Optimal portfolio positioning under ambiguity 0 0 1 34 0 1 36 150
Optimal portfolio positioning within generalized Johnson distributions 0 0 1 4 0 0 10 39
Optimal positioning in financial derivatives under mixture distributions 0 0 0 3 1 2 16 57
Option pricing with discrete rebalancing 0 0 0 86 0 1 9 256
Ownership structure and stock market liquidity: evidence from Tunisia 1 1 1 76 3 3 10 273
Performance Participation Strategies: OBPP versus CPPP 0 0 0 4 2 2 11 26
Portfolio insurance: Gap risk under conditional multiples 0 0 1 31 4 6 21 135
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 15 2 2 12 81
Preface: decision making and risk/return optimization in financial economics 0 0 0 1 2 3 5 22
Real estate investment: Market volatility and optimal holding period under risk aversion 0 0 0 20 4 5 16 123
Risk management decisions and value under uncertainty 0 0 0 5 0 2 12 21
Risk management of time varying floors for dynamic portfolio insurance 0 0 3 39 1 4 21 119
Standardized versus customized portfolio: a compensating variation approach 1 1 1 8 3 4 12 42
Utilitarianism and fairness in portfolio positioning 1 1 1 28 2 3 21 152
Total Journal Articles 3 4 21 1,084 75 114 680 5,394
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 0 0 2 2 2 9 17
Estimation of Non-Gaussian Returns: The Hedge Funds Case 0 0 0 0 2 2 8 10
Total Chapters 0 0 0 2 4 4 17 27
2 registered items for which data could not be found
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Statistics updated 2026-11-12