Jean-Luc Prigent
Personal Details
First Name: | Jean-Luc |
Middle Name: | |
Last Name: | Prigent |
Suffix: | |
RePEc Short-ID: | ppr77 |
[This author has chosen not to make the email address public] | |
University of Cergy-Pontoise 33, Bd du Port 95011 CERGY-PONTOISE FRANCE | |
+33(1) 34 25 61 72 |
Affiliation
Théorie Économique, Modélisation, Application (THEMA)
Université de Cergy-Pontoise
Cergy-Pontoise, Francehttps://thema.u-cergy.fr/
RePEc:edi:themafr (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Killian Pluzanski & Jean-Luc Prigent, 2023. "Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure," THEMA Working Papers 2023-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Philippe Bertrand & Jean-Luc Prigent, 2022.
"Performance Participation Strategies: OBPP versus CPPP,"
Post-Print
hal-03672691, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Finance, Presses universitaires de Grenoble, vol. 43(1), pages 123-150.
- Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent, 2022.
"Dynamic connectedness and optimal hedging strategy among commodities and financial indices,"
Post-Print
hal-03745047, HAL.
- Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Hachmi Ben Ameur & Zied Ftiti & Wael Louhichi & Jean-Luc Prigent, 2022. "Crises and Uncertainty in the Economy," Post-Print hal-04263649, HAL.
- Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent, 2022.
"Risk management decisions and value under uncertainty,"
Post-Print
hal-03679406, HAL.
- Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent, 2022. "Risk management decisions and value under uncertainty," Annals of Operations Research, Springer, vol. 313(2), pages 603-604, June.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2020.
"On the risk management of demand deposits: quadratic hedging of interest rate margins,"
Post-Print
hal-03676446, HAL.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Annals of Operations Research, Springer, vol. 313(2), pages 1319-1355, June.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Post-Print hal-03679403, HAL.
- Hachmi Ben Ameur & Mouna Boujelbène & Jean-Luc Prigent & Emna Triki, 2020.
"Optimal Portfolio Positioning on Multiple Assets Under Ambiguity,"
Post-Print
hal-03679693, HAL.
- Hachmi Ben Ameur & Mouna Boujelbène & J. L. Prigent & Emna Triki, 2020. "Optimal Portfolio Positioning on Multiple Assets Under Ambiguity," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 21-57, June.
- Bünyamin Erkan & Jean-Luc Prigent, 2020.
"About Long-Term Cross-Currency Bermuda Swaption Pricing,"
Post-Print
hal-03679412, HAL.
- Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 239-262, June.
- Farid Aitsahlia & Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent, 2019.
"Preface: decision making and risk/return optimization in financial economics,"
Post-Print
hal-03679695, HAL.
- Farid AitSahlia & Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent, 2019. "Preface: decision making and risk/return optimization in financial economics," Annals of Operations Research, Springer, vol. 281(1), pages 1-2, October.
- Yingyi Hu & Jean-Luc Prigent, 2019.
"Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market,"
Post-Print
hal-03679410, HAL.
- Hu, Yingyi & Prigent, Jean-Luc, 2019. "Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 80(C), pages 11-22.
- Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019.
"A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates,"
Post-Print
hal-03679690, HAL.
- Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019. "A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 367-417, June.
- Philippe Bertrand & Jean-Luc Prigent, 2019.
"On the optimality of path-dependent structured funds: The cost of standardization,"
Post-Print
hal-02492961, HAL.
- Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
- Nicolas Aubert & Benameur Hachmi & Guillaume Garnotel & Jean-Luc Prigent, 2018.
"Optimal Employee Ownership Contracts under Ambiguity Aversion,"
Post-Print
halshs-01492391, HAL.
- Nicolas Aubert & Hachmi Ben Ameur & Guillaume Garnotel & Jean‐Luc Prigent, 2018. "Optimal Employee Ownership Contracts Under Ambiguity Aversion," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 238-251, January.
- Philippe Bertrand & Jean-Luc Prigent, 2018. "Residential Real Estate in a Mixed-Asset Portfolio," Post-Print hal-01955228, HAL.
- Hatem Ben Ameur & Ephraim Clark & André de Palma & Jean-Luc Prigent, 2018.
"Preface: Risk management decisions and wealth management in Financial Economics,"
Post-Print
hal-03679696, HAL.
- Hatem Ben Ameur & Ephraim Clark & André Palma & Jean-Luc Prigent, 2018. "Preface: Risk management decisions and wealth management in Financial Economics," Annals of Operations Research, Springer, vol. 262(2), pages 239-240, March.
- Abdallah Ben Saida & Jean-Luc Prigent, 2018.
"On the robustness of portfolio allocation under copula misspecification,"
Post-Print
hal-03679698, HAL.
- Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2018.
"Mixed-asset portfolio allocation under mean-reverting asset returns,"
Post-Print
hal-01955220, HAL.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019. "Mixed-asset portfolio allocation under mean-reverting asset returns," Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
- H. Ben Ameur & Jean-Luc Prigent, 2018.
"Risk management of time varying floors for dynamic portfolio insurance,"
Post-Print
hal-03679408, HAL.
- Ben Ameur, H. & Prigent, J.-L., 2018. "Risk management of time varying floors for dynamic portfolio insurance," European Journal of Operational Research, Elsevier, vol. 269(1), pages 363-381.
- Myriam Ben Ayed & Adel Karaa & Jean-Luc Prigent, 2018.
"Duration Models For Credit Rating Migration: Evidence From The Financial Crisis,"
Post-Print
hal-03679407, HAL.
- Myriam Ben Ayed & Adel Karaa & Jean‐Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1870-1886, July.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," THEMA Working Papers 2017-20, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani, 2017. "Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions," Post-Print hal-01242023, HAL.
- N. Naguez & Jean-Luc Prigent, 2017.
"Optimal portfolio positioning within generalized Johnson distributions,"
Post-Print
hal-03679701, HAL.
- N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
- Naceur Naguez & Jean-Luc Prigent, 2014. "Optimal Portfolio Positioning within Generalized Johnson Distributions," Working Papers 2014-336, Department of Research, Ipag Business School.
- Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2017.
"Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds,"
Post-Print
hal-03679700, HAL.
- Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
- Philippe Bertrand & Jean-Luc Prigent, 2016.
"Equilibrium of financial derivative markets under portfolio insurance constraints,"
Post-Print
hal-01833070, HAL.
- Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
- Hela Maalej & Jean-Luc Prigent, 2016. "On the Stochastic Dominance of Portfolio Insurance Strategies," Post-Print hal-03679704, HAL.
- Abdallah Ben Saïda & Jean-Luc Prigent, 2016. "On the diversity score: a copula approach," Post-Print hal-03679703, HAL.
- O. Bouasker & N. Letifi & Jean-Luc Prigent, 2016.
"Optimal funding and hiring/firing policies with mean reverting demand,"
Post-Print
hal-03679612, HAL.
- Bouasker, O. & Letifi, N. & Prigent, J.-L., 2016. "Optimal funding and hiring/firing policies with mean reverting demand," Economic Modelling, Elsevier, vol. 58(C), pages 569-579.
- Rania Hentati & Jean-Luc Prigent, 2016.
"Optimal positioning in financial derivatives under mixture distributions,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-01299840, HAL.
- Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
- R. Hentati-Kaffel & J.L. Prigent, 2014. "Optimal Positioning in Financial Derivatives under Mixture Distributions," Working Papers 2014-347, Department of Research, Ipag Business School.
- Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Post-Print hal-01299840, HAL.
- Fabrice Barthélémy & Charles-Olivier Amédée-Manesme & Jean-Luc Prigent, 2015.
"Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion,"
THEMA Working Papers
2015-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Amédée-Manesme, Charles-Olivier & Barthélémy, Fabrice & Prigent, Jean-Luc, 2016. "Real estate investment: Market volatility and optimal holding period under risk aversion," Economic Modelling, Elsevier, vol. 58(C), pages 543-555.
- Philippe Bertrand & Jean-Luc Prigent, 2015.
"On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds),"
Post-Print
hal-01833074, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Finance, Presses universitaires de Grenoble, vol. 36(2), pages 67-105.
- Philippe Bertrand & Jean-luc Prigent, 2014. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Working Papers 2014-348, Department of Research, Ipag Business School.
- Philippe Bertrand & Jean-Luc Prigent, 2015.
"French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing,"
Post-Print
hal-01833084, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2015. "French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing," Bankers, Markets & Investors, ESKA Publishing, issue 135, pages 4-18, March-Apr.
- Rania Hentati & Philippe de Peretti, 2015.
"Detecting performance persistence of hedge funds,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-03045892, HAL.
- Rania Hentati & Philippe de Peretti, 2015. "Detecting performance persistence of hedge funds," Post-Print hal-03045892, HAL.
- N. Letifi & Jean-Luc Prigent, 2014.
"On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options,"
Post-Print
hal-03679708, HAL.
- Letifi, N. & Prigent, J.-L., 2014. "On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options," Economic Modelling, Elsevier, vol. 40(C), pages 410-422.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014.
"A dynamic autoregressive expectile for time-invariant portfolio protection strategies,"
Post-Print
hal-01697643, HAL.
- Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers halshs-01015390, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.
- Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT, 2013. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," LEO Working Papers / DR LEO 164, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-02312331, HAL.
- N. Letifi & J.-L. Prigent, 2014. "On the debt capacity of growth and decay options," Working Papers 2014-391, Department of Research, Ipag Business School.
- Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent, 2014.
"Portfolio insurance: Gap risk under conditional multiples,"
Post-Print
hal-03679707, HAL.
- Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
- Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
- Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
- Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.
- Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent, 2013.
"Optimal portfolio positioning under ambiguity,"
Post-Print
hal-03679709, HAL.
- Ameur, H. Ben & Prigent, J.L., 2013. "Optimal portfolio positioning under ambiguity," Economic Modelling, Elsevier, vol. 34(C), pages 89-97.
- Philippe Bertrand & Jean-Luc Prigent, 2013.
"Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies,"
Post-Print
hal-01833059, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2013. "Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies," Finance, Presses universitaires de Grenoble, vol. 34(1), pages 73-116.
- O. Bouasker & J.L. Prigent, 2012. "Corporate investment choice and exchange option between production functions," Post-Print hal-00803200, HAL.
- Fabrice Barthelemy & Jean-Luc Prigent, 2011. "Real Estate Portfolio Management : Optimization under Risk Aversion," THEMA Working Papers 2011-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Rania Hentati & Jean-Luc Prigent, 2011.
"On the maximization of financial performance measures within mixture models,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-00608960, HAL.
- Hentati Rania & Prigent Jean-Luc, 2011. "On the maximization of financial performance measures within mixture models," Statistics & Risk Modeling, De Gruyter, vol. 28(1), pages 63-80, March.
- Rania Hentati & Jean-Luc Prigent, 2011. "On the maximization of financial performance measures within mixture models," Post-Print hal-00608960, HAL.
- Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent, 2011.
"Ownership structure and stock market liquidity: evidence from Tunisia,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-03679711, HAL.
- Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 3(1), pages 91-109.
- Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," Post-Print hal-03679711, HAL.
- Rania Hentati & Jean-Luc Prigent, 2011.
"Portfolio Optimization Within Mixture Of Distributions,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-00607105, HAL.
- Rania Hentati & Jean-Luc Prigent, 2011. "Portfolio Optimization Within Mixture Of Distributions," Post-Print hal-00607105, HAL.
- Rania Hentati-Kaffel & Jean-Luc Prigent, 2014. "Portfolio Optimization within Mixture of Distributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01066105, HAL.
- Rania Hentati-Kaffel & Jean-Luc Prigent, 2014. "Portfolio Optimization within Mixture of Distributions," Working Papers hal-01066105, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2011.
"Omega performance measure and portfolio insurance,"
Post-Print
hal-01445954, HAL.
- Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
- Rania Hentati & Jean-Luc Prigent, 2011.
"VaR and Omega measures for hedge funds portfolios: A copula approach,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-00608961, HAL.
- Rania Hentati & Jean-Luc Prigent, 2011. "VaR and Omega measures for hedge funds portfolios: A copula approach," Post-Print hal-00608961, HAL.
- André de Palma & Nathalie Picard & Jean-Luc Prigent, 2010. "Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations," Working Papers hal-00517726, HAL.
- Jean-Luc Prigent & Hachmi Ben Ameur & Jean Luc Prigent, 2010. "Behaviour towards Risk in Structured Portfolio Management," Post-Print hal-03679713, HAL.
- Maroua Mhiri & Jean-Luc Prigent, 2010. "International Portfolio Optimization with Higher Moments," Post-Print hal-03679712, HAL.
- Rania HENTATI & Jean-Luc PRIGENT, 2010.
"Structured Portfolio Analysis under SharpeOmega Ratio,"
EcoMod2010
259600073, EcoMod.
- Rania Hentati-KAFFEL & Jean-Luc Prigent, 2014. "Structured portfolio analysis under SharpeOmega ratio," Working Papers 2014-425, Department of Research, Ipag Business School.
- Rania Hentati & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00657327, HAL.
- Rania Hentati & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Working Papers hal-00657327, HAL.
- Rania Hentati-Kaffel & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Documents de travail du Centre d'Economie de la Sorbonne 12002, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Rania Hentati & Ameur Kaffel & Jean-Luc Prigent, 2010.
"Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-00608962, HAL.
- Rania Hentati & Ameur Kaffel & Jean-Luc Prigent, 2010. "Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures," Post-Print hal-00608962, HAL.
- Rania Hentati & Jean-Luc Prigent, 2010.
"Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-00607102, HAL.
- Rania Hentati & Jean-Luc Prigent, 2010. "Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination," International Symposia in Economic Theory and Econometrics, in: Nonlinear Modeling of Economic and Financial Time-Series, pages 83-109, Emerald Group Publishing Limited.
- Rania Hentati & Jean-Luc Prigent, 2010. "Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination," Post-Print hal-00607102, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2010.
"A Note on Risk Aversion, Prudence and Portfolio Insurance,"
Post-Print
hal-01833054, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2010. "A Note on Risk Aversion, Prudence and Portfolio Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 35(1), pages 81-92, June.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009.
"A Risk Management Approach for Portfolio Insurance Strategies,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00389789, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009. "A Risk Management Approach for Portfolio Insurance Strategies," Post-Print halshs-00389789, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009. "A Risk Management Approach for Portfolio Insurance Strategies," Documents de travail du Centre d'Economie de la Sorbonne 09034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.
- André de Palma & Jean-Luc Prigent, 2009.
"Standardized versus customized portfolio: a compensating variation approach,"
Post-Print
hal-03679717, HAL.
- André Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Annals of Operations Research, Springer, vol. 165(1), pages 161-185, January.
- O. Bouasker & J.L. Prigent, 2008. "Firm's value under investment irreversibility, stochastic demand and general production function," Post-Print hal-00803196, HAL.
- Fabrice Barthélémy & Jean-Luc Prigent, 2008.
"Optimal Time to Sell in Real Estate Portfolio Management,"
THEMA Working Papers
2008-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fabrice Barthélémy & Jean-Luc Prigent, 2009. "Optimal Time to Sell in Real Estate Portfolio Management," The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 59-87, January.
- Fabrice Barthélémy & Jean-Luc Prigent, 2009. "Optimal Time to Sell in Real Estate Portfolio Management," Post-Print hal-03679715, HAL.
- André de Palma & Jean-Luc Prigent, 2008.
"Utilitarianism and fairness in portfolio positioning,"
Post-Print
hal-03679716, HAL.
- de Palma, André & Prigent, Jean-Luc, 2008. "Utilitarianism and fairness in portfolio positioning," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1648-1660, August.
- André de Palma & Jean-Luc Prigent, 2007.
"Hedging global environment risks: An option based portfolio insurance,"
THEMA Working Papers
2007-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- André de Palma & Jean-Luc Prigent, 2008. "Hedging global environment risks: An option based portfolio insurance," Post-Print hal-03679719, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2005. "Portfolio Insurance Strategies: OBPI versus CPPI," Post-Print hal-01833077, HAL.
- M. Prigent & M. De Palma, 2003. "Optimal portfolio positioning," THEMA Working Papers 2003-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- M. Prigent & M. De Palma, 2003. "Optimal portfolio : towards an operational decision support system," THEMA Working Papers 2003-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Philippe Bertrand & Jean-Luc Prigent, 2003. "Evaluation Of Financial Structured Products: An Application Of The Extreme Value Theory," Post-Print hal-01833069, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2003. "Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic," Post-Print hal-01833118, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2002.
"Portfolio Insurance: The Extreme Value Theory of the Cppi Method,"
Post-Print
hal-01833122, HAL.
- Philippe Bertrand & Jean-Luc Prigent & Jean-Pierre Lesne, 2001. "Portfolio Insurance: The Extreme Value Theory of the Cppi Method," Post-Print hal-01833134, HAL.
- J.L. Prigent & O. Scaillet, 2000.
"Weak Convergence of Hedging Strategies of Contingent Claims,"
THEMA Working Papers
2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jean-Luc PRIGENT & Olivier SCAILLET, 2002. "Weak Convergence of Hedging Strategies of Contingent Claims," FAME Research Paper Series rp39, International Center for Financial Asset Management and Engineering.
- F. Barthelemy & M. Mokrane & J-L Prigent, 2000. "Strategies optimales d'allocation de portefeuilles internationaux avec contraintes," THEMA Working Papers 2000-32, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- J.L. Prigent & O. Renault & O.Scaillet, 2000. "An Empirical Estimation in Credit Spread Indices," THEMA Working Papers 2000-51, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Philippe Bertrand & Jean-Luc Prigent & Raphael Sobotka, 2000. "Optimisation de portefeuille sous contrainte de variance de la tracking-error," Post-Print hal-01833150, HAL.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 2000.
"An Empirical Investigation in Credit Spread Indices,"
Working Papers
2000-59, Center for Research in Economics and Statistics.
- Olivier Scaillet & Olivier Renault & Jean-Luc Prigent, 2000. "An Empirical Investigation in Credit Spread Indices," FMG Discussion Papers dp363, Financial Markets Group.
- Prigent, J.-L. & Renault, O. & Scaillet, O., 2000. "An Empirical Investigation in Credit Spread Indices," LIDAM Discussion Papers IRES 2000028, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Bertrand, P. & lesne, J.-P. & Prigent, J.-L., 2000. "Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives," G.R.E.Q.A.M. 00a03, Universite Aix-Marseille III.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999.
"An Autoregressive Conditional Binomial Option Pricing Model,"
Working Papers
99-65, Center for Research in Economics and Statistics.
- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2000. "An auto-regressive conditional binomial option pricing model," LSE Research Online Documents on Economics 119095, London School of Economics and Political Science, LSE Library.
- Olivier Renault & Jean-Luc Prigent & Olivier Scaillet, 2000. "An Autoregressive Conditional Binomial Option Pricing Model," FMG Discussion Papers dp364, Financial Markets Group.
- Jean-Luc Prigent, 1999. "Incomplete markets: convergence of options values under the minimal martingale measure," Post-Print hal-03679524, HAL.
- J.L. Prigent, 1999. "Optimality of portfolio insurance The extended CPPI method," THEMA Working Papers 99-48, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "An autoregressive conditional binomial option pricing model under stochastic rates," THEMA Working Papers 99-40, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999.
"Option Pricing with Discrete Rebalancing,"
Working Papers
99-61, Center for Research in Economics and Statistics.
- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
- Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET, 2002. "Option Pricing with Discrete Rebalancing," FAME Research Paper Series rp55, International Center for Financial Asset Management and Engineering.
- Jean-Luc Prigent & Olivier Renault & Olivier Scaillet, 2004. "Option pricing with discrete rebalancing," Post-Print hal-03679686, HAL.
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," LIDAM Discussion Papers IRES 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999.
- J.L. Prigent, 1999. "Optimal portfolio under insurance constraints on the horizon wealth," THEMA Working Papers 99-47, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet, 1998.
"Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates,"
Working Papers
98-51, Center for Research in Economics and Statistics.
- O. Scaillet & J.-L. Prigent & J.-P. Lesne, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Finance and Stochastics, Springer, vol. 4(1), pages 81-93.
- J.-P. Lesne & Jean-Luc Prigent & O. Scaillet, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Post-Print hal-03679673, HAL.
- J. P. Lesne & J. L. Prigent & O. Scaillet, 1997. "Convergence of discrete time options pricing models under stochastic," THEMA Working Papers 97-34, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- J. L. Prigent, 1997.
"Option pricing with a general marked point process,"
THEMA Working Papers
97-36, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Prigent, J.L., 1997. "Option Pricing with a General Market Point Process," Papers 9736, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Jean-Luc Prigent, 2001. "Option Pricing with a General Marked Point Process," Post-Print hal-03679678, HAL.
- Lesne, J.P. & Prigent, J.L. & Scaillet, O., 1997. "Convergence of Discrete Time Options Pricing Models under Stochastic Rates," Papers 9734, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Mondher Bellalah & Jean-Luc Prigent, 1997.
"A note on the valuation of an exotic timing option,"
Post-Print
hal-03679521, HAL.
- Mondher Bellalah & Jean‐Luc Prigent, 1997. "A note on the valuation of an exotic timing option," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(4), pages 483-487, June.
- J. L. Prigent, 1997.
"Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case,"
THEMA Working Papers
97-35, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Prigent, J.L., 1997. "Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case," Papers 9735, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- F. Magnien & J.-L. Prigent & A. Trannoy, 1996. "Implied risk neutral probability measures on options markets : The L2 approach," THEMA Working Papers 96-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- J.-Ph. Lesne & J-L. Prigent, 1996.
"A general subordinated stochastic process for the derivatives pricing,"
THEMA Working Papers
96-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- J. L. Lesne & J. L. Prigent, 2001. "A General Subordinated Stochastic Process For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 121-146.
- J. Lesne & Jean-Luc Prigent, 2011. "A General Subordinated Stochastic Process For Derivatives Pricing," Post-Print hal-03679685, HAL.
- Prigent, J.L., 1995. "Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula," Papers 9525, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Prigent, J.L., 1995. "Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing," Papers 9526, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Trannoy, A. & Caralp, B. & Prigent, J.L. & Richelle, Y., 1992. "The private provision of public good in the case of satiation points: The case of a quasi-linear economy," LIDAM Discussion Papers CORE 1992034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
Articles
- Hachmi Ben Ameur & Ephraim Clark & Zied Ftiti & Jean-Luc Prigent, 2024. "Operational research insights on risk, resilience & dynamics of financial & economic systems," Annals of Operations Research, Springer, vol. 334(1), pages 1-6, March.
- Haifa Boussada & Jean-Luc Prigent & Ibrahima Soumare, 2023. "On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices," Applied Economics, Taylor & Francis Journals, vol. 55(1), pages 20-42, January.
- Zied Ftiti & Jean-Luc Prigent, 2023. "Crisis and Risk Management: Recent Developments in Computational Economics," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 487-491, August.
- Hamza Cherrat & Jean-Luc Prigent, 2023. "On the Hedging of Interest Rate Margins on Bank Demand Deposits," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 935-967, October.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022.
"On the risk management of demand deposits: quadratic hedging of interest rate margins,"
Annals of Operations Research, Springer, vol. 313(2), pages 1319-1355, June.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2020. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Post-Print hal-03676446, HAL.
- Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Post-Print hal-03679403, HAL.
- Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022.
"Dynamic connectedness and optimal hedging strategy among commodities and financial indices,"
International Review of Financial Analysis, Elsevier, vol. 83(C).
- Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," Post-Print hal-03745047, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2022.
"Performance Participation Strategies: OBPP versus CPPP,"
Finance, Presses universitaires de Grenoble, vol. 43(1), pages 123-150.
- Philippe Bertrand & Jean-Luc Prigent, 2022. "Performance Participation Strategies: OBPP versus CPPP," Post-Print hal-03672691, HAL.
- Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent, 2022.
"Risk management decisions and value under uncertainty,"
Annals of Operations Research, Springer, vol. 313(2), pages 603-604, June.
- Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent, 2022. "Risk management decisions and value under uncertainty," Post-Print hal-03679406, HAL.
- Hachmi Ben Ameur & Mouna Boujelbène & J. L. Prigent & Emna Triki, 2020.
"Optimal Portfolio Positioning on Multiple Assets Under Ambiguity,"
Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 21-57, June.
- Hachmi Ben Ameur & Mouna Boujelbène & Jean-Luc Prigent & Emna Triki, 2020. "Optimal Portfolio Positioning on Multiple Assets Under Ambiguity," Post-Print hal-03679693, HAL.
- Bünyamin Erkan & Jean-Luc Prigent, 2020.
"About Long-Term Cross-Currency Bermuda Swaption Pricing,"
Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 239-262, June.
- Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Post-Print hal-03679412, HAL.
- Hu, Yingyi & Prigent, Jean-Luc, 2019.
"Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market,"
Economic Modelling, Elsevier, vol. 80(C), pages 11-22.
- Yingyi Hu & Jean-Luc Prigent, 2019. "Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market," Post-Print hal-03679410, HAL.
- Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019.
"A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates,"
Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 367-417, June.
- Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019. "A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates," Post-Print hal-03679690, HAL.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019.
"Mixed-asset portfolio allocation under mean-reverting asset returns,"
Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2018. "Mixed-asset portfolio allocation under mean-reverting asset returns," Post-Print hal-01955220, HAL.
- Farid AitSahlia & Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent, 2019.
"Preface: decision making and risk/return optimization in financial economics,"
Annals of Operations Research, Springer, vol. 281(1), pages 1-2, October.
- Farid Aitsahlia & Giovanni Barone-Adesi & Ephraim Clark & Jean-Luc Prigent, 2019. "Preface: decision making and risk/return optimization in financial economics," Post-Print hal-03679695, HAL.
- Bertrand, Philippe & Prigent, Jean-luc, 2019.
"On the optimality of path-dependent structured funds: The cost of standardization,"
European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
- Philippe Bertrand & Jean-Luc Prigent, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," Post-Print hal-02492961, HAL.
- Myriam Ben Ayed & Adel Karaa & Jean‐Luc Prigent, 2018.
"Duration Models For Credit Rating Migration: Evidence From The Financial Crisis,"
Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1870-1886, July.
- Myriam Ben Ayed & Adel Karaa & Jean-Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Post-Print hal-03679407, HAL.
- Hatem Ben Ameur & Ephraim Clark & André Palma & Jean-Luc Prigent, 2018.
"Preface: Risk management decisions and wealth management in Financial Economics,"
Annals of Operations Research, Springer, vol. 262(2), pages 239-240, March.
- Hatem Ben Ameur & Ephraim Clark & André de Palma & Jean-Luc Prigent, 2018. "Preface: Risk management decisions and wealth management in Financial Economics," Post-Print hal-03679696, HAL.
- Ben Ameur, H. & Prigent, J.-L., 2018.
"Risk management of time varying floors for dynamic portfolio insurance,"
European Journal of Operational Research, Elsevier, vol. 269(1), pages 363-381.
- H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
- Nicolas Aubert & Hachmi Ben Ameur & Guillaume Garnotel & Jean‐Luc Prigent, 2018.
"Optimal Employee Ownership Contracts Under Ambiguity Aversion,"
Economic Inquiry, Western Economic Association International, vol. 56(1), pages 238-251, January.
- Nicolas Aubert & Benameur Hachmi & Guillaume Garnotel & Jean-Luc Prigent, 2018. "Optimal Employee Ownership Contracts under Ambiguity Aversion," Post-Print halshs-01492391, HAL.
- Abdallah Ben Saida & Jean-luc Prigent, 2018.
"On the robustness of portfolio allocation under copula misspecification,"
Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
- Abdallah Ben Saida & Jean-Luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Post-Print hal-03679698, HAL.
- Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017.
"Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds,"
Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
- Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Post-Print hal-03679700, HAL.
- N. Naguez & J. L. Prigent, 2017.
"Optimal portfolio positioning within generalized Johnson distributions,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
- N. Naguez & Jean-Luc Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Post-Print hal-03679701, HAL.
- Naceur Naguez & Jean-Luc Prigent, 2014. "Optimal Portfolio Positioning within Generalized Johnson Distributions," Working Papers 2014-336, Department of Research, Ipag Business School.
- Amédée-Manesme, Charles-Olivier & Barthélémy, Fabrice & Prigent, Jean-Luc, 2016.
"Real estate investment: Market volatility and optimal holding period under risk aversion,"
Economic Modelling, Elsevier, vol. 58(C), pages 543-555.
- Fabrice Barthélémy & Charles-Olivier Amédée-Manesme & Jean-Luc Prigent, 2015. "Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion," THEMA Working Papers 2015-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Bouasker, O. & Letifi, N. & Prigent, J.-L., 2016.
"Optimal funding and hiring/firing policies with mean reverting demand,"
Economic Modelling, Elsevier, vol. 58(C), pages 569-579.
- O. Bouasker & N. Letifi & Jean-Luc Prigent, 2016. "Optimal funding and hiring/firing policies with mean reverting demand," Post-Print hal-03679612, HAL.
- Bertrand, Philippe & Prigent, Jean-luc, 2016.
"Equilibrium of financial derivative markets under portfolio insurance constraints,"
Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
- Philippe Bertrand & Jean-Luc Prigent, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Post-Print hal-01833070, HAL.
- Hentati-Kaffel, R. & Prigent, J.-L., 2016.
"Optimal positioning in financial derivatives under mixture distributions,"
Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
- R. Hentati-Kaffel & J.L. Prigent, 2014. "Optimal Positioning in Financial Derivatives under Mixture Distributions," Working Papers 2014-347, Department of Research, Ipag Business School.
- Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Post-Print hal-01299840, HAL.
- Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01299840, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2015.
"On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds),"
Finance, Presses universitaires de Grenoble, vol. 36(2), pages 67-105.
- Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Post-Print hal-01833074, HAL.
- Philippe Bertrand & Jean-luc Prigent, 2014. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Working Papers 2014-348, Department of Research, Ipag Business School.
- Philippe Bertrand & Jean-Luc Prigent, 2015.
"French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing,"
Bankers, Markets & Investors, ESKA Publishing, issue 135, pages 4-18, March-Apr.
- Philippe Bertrand & Jean-Luc Prigent, 2015. "French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing," Post-Print hal-01833084, HAL.
- Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent, 2014. "Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 58-71, April.
- Ben Ameur, H. & Prigent, J.L., 2014.
"Portfolio insurance: Gap risk under conditional multiples,"
European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
- Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent, 2014. "Portfolio insurance: Gap risk under conditional multiples," Post-Print hal-03679707, HAL.
- Letifi, N. & Prigent, J.-L., 2014.
"On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options,"
Economic Modelling, Elsevier, vol. 40(C), pages 410-422.
- N. Letifi & Jean-Luc Prigent, 2014. "On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options," Post-Print hal-03679708, HAL.
- Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014.
"A dynamic autoregressive expectile for time-invariant portfolio protection strategies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers halshs-01015390, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.
- Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT, 2013. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," LEO Working Papers / DR LEO 164, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-01697643, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-02312331, HAL.
- Ameur, H. Ben & Prigent, J.L., 2013.
"Optimal portfolio positioning under ambiguity,"
Economic Modelling, Elsevier, vol. 34(C), pages 89-97.
- Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent, 2013. "Optimal portfolio positioning under ambiguity," Post-Print hal-03679709, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2013.
"Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies,"
Finance, Presses universitaires de Grenoble, vol. 34(1), pages 73-116.
- Philippe Bertrand & Jean-Luc Prigent, 2013. "Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies," Post-Print hal-01833059, HAL.
- Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent, 2011.
"Ownership structure and stock market liquidity: evidence from Tunisia,"
International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 3(1), pages 91-109.
- Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," Post-Print hal-03679711, HAL.
- Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03679711, HAL.
- Bertrand, Philippe & Prigent, Jean-luc, 2011.
"Omega performance measure and portfolio insurance,"
Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
- Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
- Hentati Rania & Prigent Jean-Luc, 2011.
"On the maximization of financial performance measures within mixture models,"
Statistics & Risk Modeling, De Gruyter, vol. 28(1), pages 63-80, March.
- Rania Hentati & Jean-Luc Prigent, 2011. "On the maximization of financial performance measures within mixture models," Post-Print hal-00608960, HAL.
- Rania Hentati & Jean-Luc Prigent, 2011. "On the maximization of financial performance measures within mixture models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00608960, HAL.
- Philippe Bertrand & Jean-Luc Prigent, 2010.
"A Note on Risk Aversion, Prudence and Portfolio Insurance,"
The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 35(1), pages 81-92, June.
- Philippe Bertrand & Jean-Luc Prigent, 2010. "A Note on Risk Aversion, Prudence and Portfolio Insurance," Post-Print hal-01833054, HAL.
- Fabrice Barthélémy & Jean-Luc Prigent, 2009.
"Optimal Time to Sell in Real Estate Portfolio Management,"
The Journal of Real Estate Finance and Economics, Springer, vol. 38(1), pages 59-87, January.
- Fabrice Barthélémy & Jean-Luc Prigent, 2008. "Optimal Time to Sell in Real Estate Portfolio Management," THEMA Working Papers 2008-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fabrice Barthélémy & Jean-Luc Prigent, 2009. "Optimal Time to Sell in Real Estate Portfolio Management," Post-Print hal-03679715, HAL.
- André Palma & Jean-Luc Prigent, 2009.
"Standardized versus customized portfolio: a compensating variation approach,"
Annals of Operations Research, Springer, vol. 165(1), pages 161-185, January.
- André de Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Post-Print hal-03679717, HAL.
- de Palma, André & Prigent, Jean-Luc, 2008.
"Utilitarianism and fairness in portfolio positioning,"
Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1648-1660, August.
- André de Palma & Jean-Luc Prigent, 2008. "Utilitarianism and fairness in portfolio positioning," Post-Print hal-03679716, HAL.
- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004.
"Option pricing with discrete rebalancing,"
Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
- Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET, 2002. "Option Pricing with Discrete Rebalancing," FAME Research Paper Series rp55, International Center for Financial Asset Management and Engineering.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999. "Option Pricing with Discrete Rebalancing," Working Papers 99-61, Center for Research in Economics and Statistics.
- Jean-Luc Prigent & Olivier Renault & Olivier Scaillet, 2004. "Option pricing with discrete rebalancing," Post-Print hal-03679686, HAL.
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," LIDAM Discussion Papers IRES 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999.
- J. L. Lesne & J. L. Prigent, 2001.
"A General Subordinated Stochastic Process For Derivatives Pricing,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 121-146.
- J.-Ph. Lesne & J-L. Prigent, 1996. "A general subordinated stochastic process for the derivatives pricing," THEMA Working Papers 96-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- J. Lesne & Jean-Luc Prigent, 2011. "A General Subordinated Stochastic Process For Derivatives Pricing," Post-Print hal-03679685, HAL.
- O. Scaillet & J.-L. Prigent & J.-P. Lesne, 2000.
"Convergence of discrete time option pricing models under stochastic interest rates,"
Finance and Stochastics, Springer, vol. 4(1), pages 81-93.
- J.-P. Lesne & Jean-Luc Prigent & O. Scaillet, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Post-Print hal-03679673, HAL.
- Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet, 1998. "Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates," Working Papers 98-51, Center for Research in Economics and Statistics.
- Mondher Bellalah & Jean‐Luc Prigent, 1997.
"A note on the valuation of an exotic timing option,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(4), pages 483-487, June.
- Mondher Bellalah & Jean-Luc Prigent, 1997. "A note on the valuation of an exotic timing option," Post-Print hal-03679521, HAL.
RePEc:inm:ormoor:v:26:y:2001:i:1:p:50-66 is not listed on IDEAS
Chapters
- Naceur Naguez & Jean-Luc Prigent, 2012. "Estimation of Non-Gaussian Returns: The Hedge Funds Case," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications, pages 247-272, Emerald Group Publishing Limited.
- Rania Hentati & Jean-Luc Prigent, 2010.
"Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination,"
International Symposia in Economic Theory and Econometrics, in: Nonlinear Modeling of Economic and Financial Time-Series, pages 83-109,
Emerald Group Publishing Limited.
- Rania Hentati & Jean-Luc Prigent, 2010. "Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination," Post-Print hal-00607102, HAL.
- Rania Hentati & Jean-Luc Prigent, 2010. "Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00607102, HAL.
RePEc:eme:isete1:s1571-0386(2010)0000020009 is not listed on IDEAS
RePEc:eme:isete1:s1571-0386(2012)0000022018 is not listed on IDEAS
Books
- Hachmi BEN AMEUR & Zied FTITI & Wael LOUHICHI & Jean-Luc PRIGENT (ed.), 2022. "Crises and Uncertainty in the Economy," Springer Books, Springer, number 978-981-19-3296-0, June.
- Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel (ed.), 2008. "Risk Management and Value:Valuation and Asset Pricing," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6574, August.
More information
Research fields, statistics, top rankings, if available.Statistics
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Rankings
This author is among the top 5% authors according to these criteria:- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Number of Authors
- Number of Journal Pages
- Betweenness measure in co-authorship network
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 25 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (14) 2009-06-17 2009-08-02 2012-01-18 2012-02-01 2012-05-29 2014-03-15 2014-05-24 2014-06-28 2014-07-05 2014-07-28 2014-11-07 2015-06-05 2017-11-05 2024-04-29. Author is listed
- NEP-IAS: Insurance Economics (8) 2007-04-14 2009-06-03 2009-06-17 2009-08-02 2014-05-24 2014-06-28 2014-06-28 2014-07-05. Author is listed
- NEP-UPT: Utility Models and Prospect Theory (6) 2007-04-14 2010-09-25 2011-08-09 2014-06-07 2014-12-13 2015-06-05. Author is listed
- NEP-FMK: Financial Markets (5) 2001-10-22 2002-02-10 2002-02-10 2009-06-03 2009-06-17. Author is listed
- NEP-CBA: Central Banking (2) 2001-10-22 2014-06-07
- NEP-URE: Urban and Real Estate Economics (2) 2008-04-12 2011-08-09
- NEP-AGR: Agricultural Economics (1) 2007-04-14
- NEP-BEC: Business Economics (1) 2007-04-14
- NEP-DGE: Dynamic General Equilibrium (1) 2014-06-07
- NEP-ENV: Environmental Economics (1) 2007-04-14
- NEP-ORE: Operations Research (1) 2014-06-28
- NEP-SEA: South East Asia (1) 2014-06-28
Corrections
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