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
CRC Press, 2007
1822007
Portfolio insurance strategies: OBPI versus CPPI
P Bertrand, JL Prigent
University of CERGY Working paper, 2001
1592001
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
1012016
Omega performance measure and portfolio insurance
P Bertrand, J Prigent
Journal of Banking & Finance 35 (7), 1811-1823, 2011
912011
Weak convergence of financial markets
JL Prigent
Weak Convergence of Financial Markets, 129-265, 2003
852003
Portfolio insurance strategies: A comparison of standard methods when the volatility of the stock is stochastic
JL Prigent, P Bertrand
International Journal of Business 8 (4), 2003
842003
Option pricing with a general marked point process
JL Prigent
Mathematics of Operations Research 26 (1), 50-66, 2001
642001
An autoregressive conditional binomial option pricing model
JL Prigent, O Renault, O Scaillet
Mathematical Finance—Bachelier Congress 2000, 353-373, 2002
482002
International portfolio optimization with higher moments
M Mhiri, JL Prigent
International Journal of Economics and Finance 2 (5), 157-169, 2010
392010
Incomplete markets: Convergence of options values under the minimal martingale measure
JL Prigent
Advances in Applied Probability, 1058-1077, 1999
341999
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
332014
An empirical investigation in credit spread indices
JL Prigent, O Renault, O Scaillet
312001
Assurance du portefeuille: analyse et extension de la méthode du coussin
JL Prigent
Banque et Marchés 51, 33-39, 2001
292001
Portfolio insurance: Gap risk under conditional multiples
HB Ameur, JL Prigent
European Journal of Operational Research 236 (1), 238-253, 2014
282014
Convergence of discrete time option pricing models under stochastic interest rates
JP Lesne, JL Prigent, O Scaillet
Finance and Stochastics 4 (1), 81-93, 2000
282000
Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
P Bertrand, JP Lesne, JL Prigent
FINANCE-PARIS- 22 (1), 7-36, 2001
262001
CPPI with cushion insurance
JL Prigent, F Tahar
THEMA University of Cergy-Pontoise working paper, 2005
252005
Standardized versus customized portfolio: a compensating variation approach
A de Palma, JL Prigent
Annals of Operations Research 165 (1), 161, 2009
242009
Utilitarianism and fairness in portfolio positioning
A de Palma, JL Prigent
Journal of Banking & Finance 32 (8), 1648-1660, 2008
222008
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), 1-28, 2017
212017
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Articles 1–20