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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of economic dynamics & control 46 (2014), pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
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Risk management of time varying floors for dynamic portfolio insurance
Ben-Ameur, Hatem; Prigent, Jean-Luc - In: European journal of operational research : EJOR 269 (2018) 1, pp. 363-381
Persistent link: https://www.econbiz.de/10011864356
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Portfolio insurance : gap rising under conditional multiples
Ameur, H. Ben; Prigent, Jean-Luc - In: European journal of operational research : EJOR 236 (2014) 1, pp. 238-253
Persistent link: https://www.econbiz.de/10010361725
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On the optimality of path-dependent structured funds : the cost of standardization
Bertrand, Philippe; Prigent, Jean-Luc - In: European journal of operational research : EJOR 277 (2019) 1, pp. 333-350
Persistent link: https://www.econbiz.de/10012015036
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Omega performance measure and portfolio insurance
Bertrand, Philippe; Prigent, Jean-Luc - In: Journal of banking & finance 35 (2011) 7, pp. 1811-1823
Persistent link: https://www.econbiz.de/10009247603
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Utilitarianism and fairness in portfolio positioning
Palma, André de; Prigent, Jean-Luc - In: Journal of banking & finance 32 (2008) 8, pp. 1648-1660
Persistent link: https://www.econbiz.de/10003749402