Access Statistics for Jean-Luc Prigent

Author contact details at EconPapers.

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 2 4 6
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 29 2 11 13 132
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 20 2 7 9 98
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 63 0 3 6 293
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 0 0 1 1 4
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 0 0 2 5 12
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 105 0 2 9 249
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 326 0 8 12 1,070
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 20 0 4 6 28
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 0 5 11 13 22
A general subordinated stochastic process for the derivatives pricing 0 0 0 0 0 4 6 189
A note on the valuation of an exotic timing option 0 0 0 0 0 0 3 4
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 0 1 3 3 9
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 3 11 14 255
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 1 1 1,115
An Empirical Estimation in Credit Spread Indices 0 0 0 117 2 3 4 273
An Empirical Investigation in Credit Spread Indices 0 0 0 14 0 4 4 423
An Empirical Investigation in Credit Spread Indices 0 0 1 709 0 1 4 1,642
An Empirical Investigation in Credit Spread Indices 0 0 0 340 0 6 8 737
An auto-regressive conditional binomial option pricing model 0 0 0 0 1 3 4 6
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 2 6 7 266
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 0 0 0 1 3 18
Behaviour towards Risk in Structured Portfolio Management 0 0 0 0 0 3 5 6
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 1 1 1 29
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 0 1 3 8
Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs 1 1 1 39 1 5 9 82
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 3 8 10 113
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 1 9 10 1,253
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 3 3 4
Convergence of discrete time options pricing models under stochastic 0 0 0 0 1 5 5 111
Corporate investment choice and exchange option between production functions 0 0 0 0 0 0 1 18
Crises and Uncertainty in the Economy 0 0 0 0 0 3 3 4
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 0 0 0 4 4 8
Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions 0 0 0 49 0 0 4 115
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 0 0 0 2 4 11
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 0 1 1 8
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 0 3 4 40
EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY 0 0 0 0 0 1 3 5
Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations 0 0 0 56 1 4 5 177
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 0 0 7 8 25
Firm's value under investment irreversibility, stochastic demand and general production function 0 0 0 0 0 2 2 14
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 0 0 0 2 30
Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives 0 0 0 0 0 2 7 1,062
Hedging global environment risks: An option based portfolio insurance 0 0 0 315 0 3 5 785
Hedging global environment risks: An option based portfolio insurance 0 0 0 0 3 5 5 5
Implied risk neutral probability measures on options markets: The L2 approach 0 0 0 0 0 2 2 320
Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing 0 0 0 0 0 3 3 560
Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case 0 0 0 0 0 2 4 1,020
Incomplete markets: Convergence of options values under the minimal martingale measure. The multidimensional case 0 0 0 0 1 5 9 151
Incomplete markets: convergence of options values under the minimal martingale measure 0 0 0 1 0 3 5 8
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 0 1 5 7 11
International Portfolio Optimization with Higher Moments 0 0 0 0 0 3 3 7
Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation 0 0 0 36 1 3 5 80
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 0 0 3 5 6
Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions 0 0 0 8 0 5 8 39
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 0 0 1 3 4 35
Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion 1 1 1 117 8 18 29 727
Omega performance measure and portfolio insurance 0 0 0 0 1 2 2 56
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 17 1 11 21 112
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 0 2 12 12 23
On the Stochastic Dominance of Portfolio Insurance Strategies 0 0 0 0 0 4 4 5
On the debt capacity of growth and decay options 0 0 0 26 2 3 5 103
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 1 0 2 4 13
On the maximization of financial performance measures within mixture models 0 0 0 0 1 3 5 27
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 0 0 0 1 2 3 4
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 0 1 4 5 15
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 2 5 8 12
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 0 1 1 2
On the robustness of portfolio allocation under copula misspecification 0 0 0 0 1 9 9 14
Optimal Employee Ownership Contracts under Ambiguity Aversion 0 0 0 5 2 4 5 51
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 0 0 0 3 6 6
Optimal Portfolio Positioning within Generalized Johnson Distributions 0 0 1 17 0 2 6 48
Optimal Positioning in Financial Derivatives under Mixture Distributions 0 0 0 15 0 6 7 66
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 135 0 3 4 396
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 0 0 1 2 3
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 0 0 1 2 3
Optimal portfolio positioning 0 0 0 25 0 1 5 298
Optimal portfolio positioning under ambiguity 0 0 0 0 0 3 3 4
Optimal portfolio positioning within generalized Johnson distributions 0 0 0 0 0 22 23 24
Optimal portfolio under insurance constraints on the horizon wealth 0 0 0 0 0 1 1 228
Optimal portfolio: towards an operational decision support system 0 0 0 17 0 1 3 134
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 2 3 6 34
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 2 4 5 12
Optimality of portfolio insurance The extended CPPI method 0 0 0 2 0 2 3 4,462
Optimisation de portefeuille sous contrainte de variance de la tracking-error 0 0 0 0 0 5 11 41
Option Pricing with Discrete Rebalancing 0 0 0 312 0 1 1 684
Option Pricing with Discrete Rebalancing 0 0 0 137 3 8 11 440
Option Pricing with Discrete Rebalancing 0 0 0 11 1 4 5 63
Option Pricing with a General Marked Point Process 0 0 0 0 0 4 7 10
Option Pricing with a General Market Point Process 0 0 0 4 1 2 3 766
Option pricing with a general marked point process 0 0 0 2 0 2 4 466
Option pricing with discrete rebalancing 0 0 0 0 0 4 5 159
Option pricing with discrete rebalancing 0 0 0 0 0 6 6 6
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 1 2 5
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 8 10 16
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 1 3 3 23
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 2 3 19
Performance Participation Strategies: OBPP versus CPPP 0 0 2 4 0 1 5 9
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic 0 0 0 2 0 4 4 29
Portfolio Insurance Strategies: OBPI versus CPPI 0 0 0 0 1 7 11 85
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 1 3 4 11
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 1 3 3 18
Portfolio Insurance: The extreme Value of the CCPI Method 0 0 1 617 0 2 6 952
Portfolio Optimization within Mixture of Distributions 0 0 0 19 0 4 6 34
Portfolio Optimization within Mixture of Distributions 0 0 0 34 0 2 8 67
Portfolio insurance: Gap risk under conditional multiples 0 0 0 0 0 4 7 10
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 0 0 3 4 4
Preface: decision making and risk/return optimization in financial economics 0 0 0 0 0 0 1 2
Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula 0 0 0 0 0 2 3 805
Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID 0 0 0 89 0 2 4 303
Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion 0 0 0 9 0 19 21 54
Real Estate Portfolio Management: Optimization under Risk Aversion 0 0 2 119 1 3 5 326
Residential Real Estate in a Mixed-Asset Portfolio 0 0 0 0 0 2 2 20
Risk management decisions and value under uncertainty 0 0 0 0 0 3 3 9
Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure 1 2 3 7 3 8 17 27
Risk management of time varying floors for dynamic portfolio insurance 0 0 0 0 1 3 4 7
Standardized versus customized portfolio: a compensating variation approach 0 0 0 0 0 0 1 3
Strategies optimales d'allocation de portefeuilles internationaux avec contraintes 0 0 0 1 1 4 5 139
Structured Portfolio Analysis under SharpeOmega Ratio 0 0 0 4 0 3 8 45
Structured portfolio analysis under SharpeOmega ratio 0 0 0 92 0 9 13 312
Structured portfolio analysis under SharpeOmega ratio 0 0 0 26 0 5 8 81
Structured portfolio analysis under SharpeOmega ratio 0 0 0 9 2 5 8 33
Structured portfolio analysis under SharpeOmega ratio 0 0 0 15 0 5 8 64
The private provision of public good in the case of satiation points: The case of a quasi-linear economy 0 0 0 8 0 2 4 251
Utilitarianism and fairness in portfolio positioning 0 0 0 0 1 4 7 11
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 0 0 1 13
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 0 1 2 34
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 0 10 12 259
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 1 2 166
Total Working Papers 3 4 12 4,836 77 510 755 26,765
3 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 0 0 6 0 4 7 43
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 1 0 3 4 14
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 19 0 5 6 102
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 30 1 5 10 134
A note on the valuation of an exotic timing option 0 0 1 2 0 0 2 15
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 23 3 7 10 77
An empirical investigation into credit spread indices 0 1 2 3 6 10 17 19
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 2 18 2 12 19 76
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 3 6 7 1,229
Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange 0 0 0 12 0 6 8 125
Crisis and Risk Management: Recent Developments in Computational Economics 0 0 0 1 0 4 6 9
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 1 12 0 4 10 59
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 3 7 1 4 13 32
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 15 0 11 20 88
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 31 0 2 8 106
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 15 1 4 5 67
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 13 0 6 13 88
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 1 16 0 3 9 55
OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION 0 0 0 3 0 6 10 48
Omega performance measure and portfolio insurance 1 1 2 102 1 3 8 515
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 5 6 11 12 55
On the Hedging of Interest Rate Margins on Bank Demand Deposits 0 0 2 4 0 2 11 18
On the maximization of financial performance measures within mixture models 0 0 0 3 0 2 3 35
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 0 0 4 0 8 10 54
On the optimality of path-dependent structured funds: The cost of standardization 0 0 1 6 0 7 10 38
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 2 8 0 3 9 32
On the robustness of portfolio allocation under copula misspecification 0 0 0 5 2 12 18 72
On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices 0 1 3 10 0 2 10 26
Operational research insights on risk, resilience & dynamics of financial & economic systems 0 0 1 6 1 4 11 23
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 3 7 0 1 13 53
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 49 0 3 10 277
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 2 1 5 8 40
Optimal portfolio positioning under ambiguity 0 0 0 33 2 28 32 144
Optimal portfolio positioning within generalized Johnson distributions 0 0 0 3 0 1 2 30
Optimal positioning in financial derivatives under mixture distributions 0 0 0 3 1 5 11 48
Option pricing with discrete rebalancing 0 0 1 86 0 5 6 252
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 75 0 4 9 268
Performance Participation Strategies: OBPP versus CPPP 0 0 0 4 1 9 11 24
Portfolio insurance: Gap risk under conditional multiples 1 1 1 31 1 4 12 120
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 15 1 6 8 76
Preface: decision making and risk/return optimization in financial economics 0 0 0 1 0 1 1 18
Real estate investment: Market volatility and optimal holding period under risk aversion 0 0 0 20 1 7 10 114
Risk management decisions and value under uncertainty 0 0 0 5 1 6 6 15
Risk management of time varying floors for dynamic portfolio insurance 0 1 5 39 0 7 15 107
Standardized versus customized portfolio: a compensating variation approach 0 0 2 7 0 2 8 35
Utilitarianism and fairness in portfolio positioning 0 0 1 27 4 9 14 144
Total Journal Articles 2 5 34 1,073 40 259 462 5,019
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 0 2 5 11
Estimation of Non-Gaussian Returns: The Hedge Funds Case 0 0 0 0 0 5 6 8
Total Chapters 0 0 0 2 0 7 11 19
2 registered items for which data could not be found
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