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A Note on Risk Aversion, Prudence and Portfolio Insurance

Bertrand, Philippe; Prigent, Jean-Luc - In: The Geneva Risk and Insurance Review 35 (2010) 1, pp. 81-92

This paper examines some properties of portfolio insurance that are linked to the risk aversion and the prudence of the investor. We provide explicit conditions to measure portfolio sensitivity to downside risk. We also characterize the degree of portfolio insurance by means of the ratio of...

Persistent link: https://www.econbiz.de/10008498065

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

Mixed-asset portfolio allocation under mean-reverting asset returns

Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; … - In: Decision making and risk/return optimization in …, (pp. 65-98). 2019

Persistent link: https://www.econbiz.de/10012127933

On path-dependent structured funds : complexity does not always pay : Asian versus average performance funds

Bertrand, Philippe; Prigent, Jean-Luc - In: Finance : revue de l'Association Française de Finance 37 (2015) 2, pp. 67-105

Persistent link: https://www.econbiz.de/10011615586

Equilibrium of financial derivative markets under portfolio insurance constraints

Bertrand, Philippe; Prigent, Jean-Luc - In: Economic modelling 52 (2016), pp. 278-291

Persistent link: https://www.econbiz.de/10011645654

Portfolio insurance strategies : a comparison of standard methods when the volatility of the stock is stochastic

Bertrand, Philippe; Prigent, Jean-Luc - In: International journal of business 8 (2003) 4, pp. 461-472

Persistent link: https://www.econbiz.de/10002039315

Portfolio insurance : the extreme value approach to the CPPI method

Bertrand, Philippe; Prigent, Jean-Luc - In: Finance : revue de l'Association Française de Finance 23 (2002) 2, pp. 69-86

Persistent link: https://www.econbiz.de/10001702629

Gestion de portefeuille avec garantie : l'allocation optimale en actifs dérivés

Bertrand, Philippe; Lesne, Jean-Philippe; Prigent, Jean-Luc - In: Finance : revue de l'Association Française de Finance 22 (2001) 1, pp. 7-35

Persistent link: https://www.econbiz.de/10001624292

A note on risk aversion, prudence and portfolio insurance

Bertrand, Philippe; Prigent, Jean-Luc - In: The Geneva risk and insurance review 35 (2010) 1, pp. 81-92

Persistent link: https://www.econbiz.de/10008664051

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