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Jean-Luc PRIGENT
Jean-Luc PRIGENT
Professeur d'Economie et Finance
Verified email at u-cergy.fr
Title
Cited by
Cited by
Year
Portfolio optimization and performance analysis
JL Prigent
Chapman and Hall/CRC, 2007
2312007
Portfolio insurance strategies: OBPI versus CPPI
P Bertrand, JL Prigent
University of CERGY Working paper, 2001
1952001
Omega performance measure and portfolio insurance
P Bertrand, J Prigent
Journal of Banking & Finance 35 (7), 1811-1823, 2011
1222011
Portfolio insurance: The extreme value approach applied to the cppi method
P Bertrand, JL Prigent
Extreme Events in Finance: A Handbook of Extreme Value Theory and Its …, 2016
1132016
Weak convergence of financial markets
JL Prigent
Weak Convergence of Financial Markets, 129-265, 2003
972003
Portfolio insurance strategies: a comparison of standard methods when the volatility of the stock is stochastic
JL Prigent, P Bertrand
Available at SSRN 450061, 2003
892003
Option pricing with a general marked point process
JL Prigent
Mathematics of Operations Research 26 (1), 50-66, 2001
782001
International portfolio optimization with higher moments
M Mhiri, JL Prigent
International Journal of Economics and Finance 2 (5), 157-169, 2010
572010
A dynamic autoregressive expectile for time-invariant portfolio protection strategies
B Hamidi, B Maillet, JL Prigent
Journal of Economic Dynamics and Control 46, 1-29, 2014
552014
An autoregressive conditional binomial option pricing model
JL Prigent, O Renault, O Scaillet
Mathematical Finance—Bachelier Congress 2000: Selected Papers from the …, 2002
482002
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
J Vedani, N El Karoui, S Loisel, JL Prigent
European Actuarial Journal 7, 1-28, 2017
432017
Portfolio insurance: Gap risk under conditional multiples
HB Ameur, JL Prigent
European Journal of Operational Research 236 (1), 238-253, 2014
372014
An empirical investigation in credit spread indices
JL Prigent, O Renault, O Scaillet
LSE Financial Markets Group, 2000
372000
Incomplete markets: Convergence of options values under the minimal martingale measure
JL Prigent
Advances in Applied Probability 31 (4), 1058-1077, 1999
361999
Standardized versus customized portfolio: a compensating variation approach
A de Palma, JL Prigent
Annals of Operations Research 165 (1), 161-185, 2009
312009
Assurance du portefeuille: analyse et extension de la méthode du coussin
JL Prigent
Banque et Marchés 51, 33-39, 2001
312001
Convergence of discrete time option pricing models under stochastic interest rates
JP Lesne, JL Prigent, O Scaillet
Finance and Stochastics 4, 81-93, 2000
302000
CPPI with cushion insurance
JL Prigent, F Tahar
THEMA University of Cergy-Pontoise working paper, 2005
292005
Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
P Bertrand, JP Lesne, JL Prigent
FINANCE-PARIS- 22 (1), 7-36, 2001
272001
Utilitarianism and fairness in portfolio positioning
A de Palma, JL Prigent
Journal of Banking & Finance 32 (8), 1648-1660, 2008
262008
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