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 1 1 7 11
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 29 2 3 22 141
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 0 63 0 0 9 296
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies 0 0 1 21 0 1 16 105
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 0 0 0 7 10
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 0 0 0 7 14
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 326 0 0 17 1,076
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 105 0 0 10 253
A Risk Management Approach for Portfolio Insurance Strategies 0 0 0 20 1 3 10 32
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 0 0 0 0 2 17 27
A general subordinated stochastic process for the derivatives pricing 0 0 0 0 0 0 6 190
A note on the valuation of an exotic timing option 0 0 0 0 0 0 5 6
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 0 2 3 10 16
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 1 3 1,117
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 1 2 18 259
An Empirical Estimation in Credit Spread Indices 0 0 0 117 0 1 8 277
An Empirical Investigation in Credit Spread Indices 0 0 1 710 0 0 6 1,647
An Empirical Investigation in Credit Spread Indices 0 0 0 340 0 0 13 744
An Empirical Investigation in Credit Spread Indices 0 0 0 14 0 1 7 426
An auto-regressive conditional binomial option pricing model 0 0 0 0 0 0 7 9
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 0 0 9 268
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 0 0 1 1 3 19
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 0 0 5 10
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination 0 0 0 0 0 0 3 31
Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs 0 0 2 40 0 1 12 85
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 1 1 20 124
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 0 18 1,261
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 1 5 6
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 0 8 114
Corporate investment choice and exchange option between production functions 0 0 0 0 0 0 2 19
Crises and Uncertainty in the Economy 0 0 0 0 0 1 5 6
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 0 0 0 0 5 9
Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions 0 0 0 49 0 1 4 116
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 0 0 0 0 5 14
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 1 1 6 42
Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures 0 0 0 0 0 0 3 10
EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY 0 0 0 0 0 0 7 9
Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations 0 0 0 56 0 0 7 179
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 0 0 1 11 28
Firm's value under investment irreversibility, stochastic demand and general production function 0 0 0 0 0 0 3 15
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 0 0 1 5 33
Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives 0 0 0 0 0 0 7 1,064
Hedging global environment risks: An option based portfolio insurance 0 0 0 0 0 0 8 8
Hedging global environment risks: An option based portfolio insurance 0 0 0 315 0 1 11 791
Implied risk neutral probability measures on options markets: The L2 approach 0 0 0 0 0 0 5 323
Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing 0 0 0 0 2 2 9 566
Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case 0 0 0 0 0 0 4 1,021
Incomplete markets: Convergence of options values under the minimal martingale measure. The multidimensional case 0 0 0 0 1 1 12 156
Incomplete markets: convergence of options values under the minimal martingale measure 0 0 0 1 0 1 7 11
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 0 0 0 9 14
International Portfolio Optimization with Higher Moments 0 0 0 0 1 1 6 10
Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation 0 0 0 36 0 0 6 82
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 0 1 1 6 7
Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions 0 0 0 8 0 0 9 41
Mixed-asset portfolio allocation under mean-reverting asset returns 0 0 0 0 0 2 9 41
Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion 0 1 3 119 0 1 42 744
Omega performance measure and portfolio insurance 0 0 0 0 0 1 8 62
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 0 0 0 15 26
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 17 1 2 29 121
On the Stochastic Dominance of Portfolio Insurance Strategies 0 0 0 0 0 1 5 6
On the debt capacity of growth and decay options 0 0 0 26 0 0 6 105
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 7 29
On the maximization of financial performance measures within mixture models 0 0 0 1 0 2 6 16
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 3 5
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 0 1 2 7 18
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 0 0 0 0 4 5
On the robustness of portfolio allocation under copula misspecification 0 0 0 0 1 1 11 16
Optimal Employee Ownership Contracts under Ambiguity Aversion 0 0 0 5 0 0 7 53
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 0 0 0 0 11 12
Optimal Portfolio Positioning within Generalized Johnson Distributions 0 0 0 17 0 0 5 50
Optimal Positioning in Financial Derivatives under Mixture Distributions 0 0 0 15 1 1 9 69
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 135 0 1 8 400
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 0 1 2 8 10
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 0 0 1 2 4
Optimal portfolio positioning 0 0 0 25 0 0 7 300
Optimal portfolio positioning under ambiguity 0 0 0 0 1 2 7 8
Optimal portfolio positioning within generalized Johnson distributions 0 0 0 0 0 1 25 26
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 0 0 3 136
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 0 0 7 35
Optimal positioning in financial derivatives under mixture distributions 0 0 0 0 1 1 6 13
Optimality of portfolio insurance The extended CPPI method 0 0 0 2 0 0 5 4,464
Optimisation de portefeuille sous contrainte de variance de la tracking-error 0 0 0 0 0 0 12 47
Option Pricing with Discrete Rebalancing 0 0 0 11 0 0 8 66
Option Pricing with Discrete Rebalancing 0 0 0 312 1 3 9 692
Option Pricing with Discrete Rebalancing 0 0 0 137 1 1 15 444
Option Pricing with a General Marked Point Process 0 0 0 0 1 1 5 11
Option Pricing with a General Market Point Process 0 0 0 4 0 0 6 770
Option pricing with a general marked point process 0 0 0 2 1 1 8 470
Option pricing with discrete rebalancing 0 0 0 0 1 1 8 8
Option pricing with discrete rebalancing 0 0 0 0 0 1 10 164
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 1 1 9 17
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 0 0 0 1 5
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 0 3 23
PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS 0 0 0 0 0 0 3 19
Performance Participation Strategies: OBPP versus CPPP 0 0 0 4 0 0 6 12
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic 0 0 0 2 0 1 12 37
Portfolio Insurance Strategies: OBPI versus CPPI 0 0 0 0 2 2 13 89
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 0 0 4 12
Portfolio Insurance: The Extreme Value Theory of the Cppi Method 0 0 0 0 0 0 6 21
Portfolio Insurance: The extreme Value of the CCPI Method 0 0 1 617 0 2 9 955
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 8 36
Portfolio insurance: Gap risk under conditional multiples 0 0 0 0 1 2 13 16
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 0 1 1 7 7
Preface: decision making and risk/return optimization in financial economics 0 0 0 0 0 0 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 0 0 5 807
Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID 0 0 0 89 0 1 8 307
Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion 0 0 0 9 2 4 34 68
Real Estate Portfolio Management: Optimization under Risk Aversion 0 0 1 119 1 2 12 334
Residential Real Estate in a Mixed-Asset Portfolio 0 0 0 0 1 2 4 22
Risk management decisions and value under uncertainty 0 0 0 0 0 0 5 11
Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure 0 0 2 7 0 0 16 32
Risk management of time varying floors for dynamic portfolio insurance 0 0 0 0 1 3 9 12
Standardized versus customized portfolio: a compensating variation approach 0 0 0 0 0 0 4 6
Strategies optimales d'allocation de portefeuilles internationaux avec contraintes 0 0 0 1 65 65 71 205
Structured Portfolio Analysis under SharpeOmega Ratio 0 0 0 4 2 2 12 50
Structured portfolio analysis under SharpeOmega ratio 0 0 0 15 0 0 10 67
Structured portfolio analysis under SharpeOmega ratio 0 0 0 92 0 0 11 313
Structured portfolio analysis under SharpeOmega ratio 0 0 0 9 1 1 9 35
Structured portfolio analysis under SharpeOmega ratio 0 0 0 26 0 0 8 83
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 4 253
Utilitarianism and fairness in portfolio positioning 0 0 0 0 0 0 9 14
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 1 1 5 37
VaR and Omega measures for hedge funds portfolios: A copula approach 0 0 0 0 0 2 6 18
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 0 2 166
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 0 0 14 261
Total Working Papers 0 1 11 4,841 106 155 1,158 27,251
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 1 1 1 7 1 5 15 53
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING 0 0 0 1 0 0 4 15
A Note on Risk Aversion, Prudence and Portfolio Insurance 0 0 0 19 1 2 11 107
A dynamic autoregressive expectile for time-invariant portfolio protection strategies 0 1 2 32 1 5 18 144
A note on the valuation of an exotic timing option 0 0 1 2 0 0 2 16
About Long-Term Cross-Currency Bermuda Swaption Pricing 0 0 0 23 1 2 10 79
An empirical investigation into credit spread indices 0 0 1 3 0 1 20 26
Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies 0 0 0 18 2 9 83 143
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 1 1 12 1,234
Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange 0 0 0 12 0 1 9 128
Crisis and Risk Management: Recent Developments in Computational Economics 0 0 0 1 0 0 5 10
DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS 0 0 2 13 0 0 11 63
Dynamic connectedness and optimal hedging strategy among commodities and financial indices 0 0 0 7 0 1 15 40
Equilibrium of financial derivative markets under portfolio insurance constraints 0 0 0 15 0 1 21 95
French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing 0 0 0 31 0 0 9 110
Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market 0 0 0 15 0 0 9 72
Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds 0 0 0 13 1 2 17 98
Mixed-asset portfolio allocation under mean-reverting asset returns 0 1 1 17 1 4 14 64
OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION 0 0 0 3 0 0 11 51
Omega performance measure and portfolio insurance 0 0 1 102 0 2 12 522
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) 0 0 0 5 0 1 17 61
On the Hedging of Interest Rate Margins on Bank Demand Deposits 0 0 2 4 0 2 9 22
On the maximization of financial performance measures within mixture models 0 0 0 3 0 0 6 38
On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options 0 0 1 5 0 1 11 57
On the optimality of path-dependent structured funds: The cost of standardization 0 0 0 6 0 1 10 40
On the risk management of demand deposits: quadratic hedging of interest rate margins 0 0 2 8 1 1 11 36
On the robustness of portfolio allocation under copula misspecification 0 0 0 5 0 1 15 74
On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices 0 0 1 10 1 2 8 30
Operational research insights on risk, resilience & dynamics of financial & economic systems 0 0 0 6 1 1 9 25
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity 0 0 1 7 0 0 9 55
Optimal Time to Sell in Real Estate Portfolio Management 0 0 0 49 0 0 12 282
Optimal funding and hiring/firing policies with mean reverting demand 0 0 0 2 1 2 12 45
Optimal portfolio positioning under ambiguity 0 0 1 34 1 1 37 150
Optimal portfolio positioning within generalized Johnson distributions 0 0 1 4 0 1 10 39
Optimal positioning in financial derivatives under mixture distributions 0 0 0 3 0 0 15 55
Option pricing with discrete rebalancing 0 0 0 86 1 1 9 256
Ownership structure and stock market liquidity: evidence from Tunisia 0 0 0 75 0 1 10 270
Performance Participation Strategies: OBPP versus CPPP 0 0 0 4 0 0 10 24
Portfolio insurance: Gap risk under conditional multiples 0 0 1 31 0 2 18 129
Preface: Risk management decisions and wealth management in Financial Economics 0 0 0 15 0 1 11 79
Preface: decision making and risk/return optimization in financial economics 0 0 0 1 1 1 3 20
Real estate investment: Market volatility and optimal holding period under risk aversion 0 0 0 20 0 0 12 118
Risk management decisions and value under uncertainty 0 0 0 5 2 2 12 21
Risk management of time varying floors for dynamic portfolio insurance 0 0 4 39 0 3 19 115
Standardized versus customized portfolio: a compensating variation approach 0 0 1 7 1 1 11 39
Utilitarianism and fairness in portfolio positioning 0 0 0 27 0 0 18 149
Total Journal Articles 1 3 24 1,081 19 62 632 5,299
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 0 7 15
Estimation of Non-Gaussian Returns: The Hedge Funds Case 0 0 0 0 0 0 6 8
Total Chapters 0 0 0 2 0 0 13 23
2 registered items for which data could not be found
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Statistics updated 2026-09-10