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 4 4 8 10
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 1 1 21 4 7 14 103
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 29 4 8 19 138
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 63 1 3 9 296
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 0 5 5 6 9
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 0 2 2 7 14
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 105 4 4 13 253
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 20 1 1 7 29
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 326 4 5 16 1,075
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 0 3 8 16 25
A general subordinated stochastic process for the derivatives pricing 0 0 0 0 1 1 6 190
A note on the valuation of an exotic timing option 0 0 0 0 1 1 4 5
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 0 1 4 6 12
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 1 2 1,116
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 2 5 16 257
An Empirical Estimation in Credit Spread Indices 0 0 0 117 2 5 7 276
An Empirical Investigation in Credit Spread Indices 0 0 0 340 6 7 15 744
An Empirical Investigation in Credit Spread Indices 1 1 2 710 4 5 8 1,647
An Empirical Investigation in Credit Spread Indices 0 0 0 14 1 1 5 424
An auto-regressive conditional binomial option pricing model 0 0 0 0 3 4 7 9
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 2 4 9 268
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 0 0 0 0 2 18
Behaviour towards Risk in Structured Portfolio Management 0 0 0 0 0 0 4 6
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 2 2 5 10
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 2 3 3 31
Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs 0 1 1 39 1 2 10 83
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 2 13 20 123
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 8 9 18 1,261
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 1 4 5
Convergence of discrete time options pricing models under stochastic 0 0 0 0 3 4 8 114
Corporate investment choice and exchange option between production functions 0 0 0 0 1 1 2 19
Crises and Uncertainty in the Economy 0 0 0 0 1 1 4 5
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 0 0 1 1 5 9
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 1 2 6 13
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 1 2 3 10
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 1 1 5 41
EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY 0 0 0 0 3 4 7 9
Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations 0 0 0 56 1 2 6 178
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 0 0 2 10 27
Firm's value under investment irreversibility, stochastic demand and general production function 0 0 0 0 1 1 3 15
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 0 0 1 3 31
Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives 0 0 0 0 0 1 8 1,063
Hedging global environment risks: An option based portfolio insurance 0 0 0 315 5 5 10 790
Hedging global environment risks: An option based portfolio insurance 0 0 0 0 1 5 7 7
Implied risk neutral probability measures on options markets: The L2 approach 0 0 0 0 2 2 4 322
Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing 0 0 0 0 3 3 6 563
Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case 0 0 0 0 0 1 5 1,021
Incomplete markets: Convergence of options values under the minimal martingale measure. The multidimensional case 0 0 0 0 1 3 11 153
Incomplete markets: convergence of options values under the minimal martingale measure 0 0 0 1 2 2 7 10
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 0 3 4 10 14
International Portfolio Optimization with Higher Moments 0 0 0 0 2 2 5 9
Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation 0 0 0 36 1 2 5 81
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 0 0 0 5 6
Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions 0 0 0 8 2 2 9 41
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 0 0 2 5 7 39
Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion 1 2 2 118 8 22 40 741
Omega performance measure and portfolio insurance 0 0 0 0 3 6 7 61
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 0 2 5 15 26
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 17 4 5 25 116
On the Stochastic Dominance of Portfolio Insurance Strategies 0 0 0 0 0 0 4 5
On the debt capacity of growth and decay options 0 0 0 26 1 3 5 104
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 2 3 7 29
On the maximization of financial performance measures within mixture models 0 0 0 1 1 1 5 14
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 4 5
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 0 1 2 6 16
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 1 3 9 13
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 2 3 4 5
On the robustness of portfolio allocation under copula misspecification 0 0 0 0 1 2 10 15
Optimal Employee Ownership Contracts under Ambiguity Aversion 0 0 0 5 2 4 7 53
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 0 0 6 6 12 12
Optimal Portfolio Positioning within Generalized Johnson Distributions 0 0 0 17 1 2 6 50
Optimal Positioning in Financial Derivatives under Mixture Distributions 0 0 0 15 0 2 9 68
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 0 3 4 6 7
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 135 3 3 7 399
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 0 0 0 2 3
Optimal portfolio positioning 0 0 0 25 2 2 7 300
Optimal portfolio positioning under ambiguity 0 0 0 0 2 2 5 6
Optimal portfolio positioning within generalized Johnson distributions 0 0 0 0 1 1 24 25
Optimal portfolio under insurance constraints on the horizon wealth 0 0 0 0 0 0 1 228
Optimal portfolio: towards an operational decision support system 0 0 0 17 2 2 5 136
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 0 2 6 34
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 0 2 5 12
Optimality of portfolio insurance The extended CPPI method 0 0 0 2 2 2 5 4,464
Optimisation de portefeuille sous contrainte de variance de la tracking-error 0 0 0 0 6 6 16 47
Option Pricing with Discrete Rebalancing 0 0 0 312 1 3 4 687
Option Pricing with Discrete Rebalancing 0 0 0 11 0 3 7 65
Option Pricing with Discrete Rebalancing 0 0 0 137 1 4 12 441
Option Pricing with a General Marked Point Process 0 0 0 0 0 0 7 10
Option Pricing with a General Market Point Process 0 0 0 4 3 4 6 769
Option pricing with a general marked point process 0 0 0 2 2 3 7 469
Option pricing with discrete rebalancing 0 0 0 0 0 0 6 6
Option pricing with discrete rebalancing 0 0 0 0 4 4 9 163
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 0 10 16
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 0 2 5
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 0 3 19
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 1 3 23
Performance Participation Strategies: OBPP versus CPPP 0 0 2 4 3 3 8 12
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic 0 0 0 2 5 6 10 35
Portfolio Insurance Strategies: OBPI versus CPPI 0 0 0 0 1 3 12 87
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 1 3 5 20
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 0 1 3 11
Portfolio Insurance: The extreme Value of the CCPI Method 0 0 1 617 1 1 7 953
Portfolio Optimization within Mixture of Distributions 0 0 0 34 1 1 9 68
Portfolio Optimization within Mixture of Distributions 0 0 0 19 1 1 7 35
Portfolio insurance: Gap risk under conditional multiples 0 0 0 0 3 4 11 14
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 0 2 2 6 6
Preface: decision making and risk/return optimization in financial economics 0 0 0 0 1 1 2 3
Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula 0 0 0 0 2 2 5 807
Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID 0 0 0 89 2 2 6 305
Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion 0 0 0 9 8 8 29 62
Real Estate Portfolio Management: Optimization under Risk Aversion 0 0 1 119 6 7 10 332
Residential Real Estate in a Mixed-Asset Portfolio 0 0 0 0 0 0 2 20
Risk management decisions and value under uncertainty 0 0 0 0 2 2 5 11
Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure 0 1 3 7 4 7 21 31
Risk management of time varying floors for dynamic portfolio insurance 0 0 0 0 1 3 6 9
Standardized versus customized portfolio: a compensating variation approach 0 0 0 0 3 3 4 6
Strategies optimales d'allocation de portefeuilles internationaux avec contraintes 0 0 0 1 1 2 6 140
Structured Portfolio Analysis under SharpeOmega Ratio 0 0 0 4 3 3 11 48
Structured portfolio analysis under SharpeOmega ratio 0 0 0 26 2 2 10 83
Structured portfolio analysis under SharpeOmega ratio 0 0 0 15 1 3 11 67
Structured portfolio analysis under SharpeOmega ratio 0 0 0 9 1 3 9 34
Structured portfolio analysis under SharpeOmega ratio 0 0 0 92 0 0 13 312
The private provision of public good in the case of satiation points: The case of a quasi-linear economy 0 0 0 8 1 2 6 253
Utilitarianism and fairness in portfolio positioning 0 0 0 0 1 4 10 14
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 3 3 4 16
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 1 2 4 36
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 2 2 14 261
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 0 2 166
Total Working Papers 2 6 13 4,839 239 379 1,039 27,067
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 4 4 10 47
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 1 1 1 4 15
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 19 2 3 9 105
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 30 3 4 13 137
A note on the valuation of an exotic timing option 0 0 1 2 1 1 3 16
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 23 0 3 9 77
An empirical investigation into credit spread indices 0 0 2 3 4 12 22 25
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 1 18 1 6 22 80
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 3 7 11 1,233
Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange 0 0 0 12 2 2 8 127
Crisis and Risk Management: Recent Developments in Computational Economics 0 0 0 1 1 1 7 10
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 1 1 2 13 2 3 13 62
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 1 7 7 8 17 39
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 15 5 5 24 93
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 31 3 4 12 110
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 15 0 1 5 67
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 13 8 8 16 96
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 0 16 5 5 11 60
OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION 0 0 0 3 2 2 12 50
Omega performance measure and portfolio insurance 0 1 2 102 3 5 12 519
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 5 5 11 17 60
On the Hedging of Interest Rate Margins on Bank Demand Deposits 0 0 2 4 1 2 8 20
On the maximization of financial performance measures within mixture models 0 0 0 3 2 3 6 38
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 1 1 5 0 2 12 56
On the optimality of path-dependent structured funds: The cost of standardization 0 0 1 6 0 1 11 39
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 2 8 1 3 12 35
On the robustness of portfolio allocation under copula misspecification 0 0 0 5 1 3 18 73
On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices 0 0 2 10 2 2 9 28
Operational research insights on risk, resilience & dynamics of financial & economic systems 0 0 1 6 0 2 11 24
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 3 7 2 2 13 55
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 49 3 4 14 281
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 2 2 4 11 43
Optimal portfolio positioning under ambiguity 0 1 1 34 2 6 36 148
Optimal portfolio positioning within generalized Johnson distributions 1 1 1 4 7 7 9 37
Optimal positioning in financial derivatives under mixture distributions 0 0 0 3 5 7 16 54
Option pricing with discrete rebalancing 0 0 0 86 1 3 8 255
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 75 1 1 10 269
Performance Participation Strategies: OBPP versus CPPP 0 0 0 4 0 1 11 24
Portfolio insurance: Gap risk under conditional multiples 0 1 1 31 3 6 17 125
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 15 2 3 10 78
Preface: decision making and risk/return optimization in financial economics 0 0 0 1 1 1 2 19
Real estate investment: Market volatility and optimal holding period under risk aversion 0 0 0 20 4 5 13 118
Risk management decisions and value under uncertainty 0 0 0 5 2 4 9 18
Risk management of time varying floors for dynamic portfolio insurance 0 0 5 39 3 3 18 110
Standardized versus customized portfolio: a compensating variation approach 0 0 1 7 2 3 10 38
Utilitarianism and fairness in portfolio positioning 0 0 0 27 4 9 18 149
Total Journal Articles 2 6 30 1,077 113 183 569 5,162
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 3 4 9 15
Estimation of Non-Gaussian Returns: The Hedge Funds Case 0 0 0 0 0 0 6 8
Total Chapters 0 0 0 2 3 4 15 23
2 registered items for which data could not be found
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