We examine the long term investment problem, under stochastic interest and inflation rates and incompleteness. Four basic financial assets are available on the financial market: a money market account (the cash), a real consumption good, a financial stock index and a bond with constant maturity....

Many empirical studies have shown that financial asset returns do not

This paper examines the equilibrium of financial portfolios under insurance

As emphasized by the U.S. Dodd-Frank Act and the European MiFID directive, financial institu-

This paper deals with performance measurement of financial struc- tured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide gen- eral results about...

Portfolio insurance allows investors to recover at maturity a given percentage of their initial investment, whatever financial market evolu- tions. This portfolio insurance strategy limits downside risk in falling markets, while it allows potential benefits in rising markets. We analyze this...

In this paper, we examine main properties of the Constant Proportion Portfolio Insurance (CPPI) strategy, when trading in continuous-time is not allowed. We focus instead on stochastic-time rebalancing. We prove that investor's tolerance determines crucially portfolio performance, in particular...

This paper examines the strategy in resource allocation of a firm which must choose between several production functions. These latter ones can differ by their respective initial investment amounts, input costs, output levels and prices...Such management problem is often posed when input values...

In this paper, we analyze the Kappa performance measures of portfolio returns having Johnson distributions. Kappa performance measures are based on downside risk measures, which better allows evaluating risk and performance of complex returns such as those of hedge funds. These measures take...

The purpose of this paper is to analyze the gap risk of dynamic portfo- lio insurance strategies which generalize the "Constant Proportion Port- folio Insurance " (CPPI) method by allowing the multiple to vary. We illustrate our theoretical results for conditional CPPI strategies indexed on...