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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

Risk Management and Value : Valuation and Asset Pricing

Bellalah, Mondher - 2009

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in...

Persistent link: https://www.econbiz.de/10013156510

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

A Risk Management Approach for Portfolio Insurance Strategies

Hamidi, Benjamin; Maillet, Bertrand B.; Prigent, Jean-Luc - 2009

approach for defining insurance portfolio strategies, we analyze and illustrate a specific dynamic portfolio insurance strategy … the traditional and popular portfolio insurance strategy (Cf. Black and Jones, 1987; Black and Perold, 1992): the so …-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the …

Persistent link: https://www.econbiz.de/10014213499

Crises and Uncertainty in the Economy

Ben Ameur, Hachmi (ed.); Ftiti, Zied (ed.); … - 2022

1. Covid-19: What Determines Policy Responses Across Europe? -- 2. Financial Integration And Labor Mobility In A Monetary Union -- 3. Macroeconomic-Financial Policies And Climate Change Nexus: Theory & Practices -- 4. Exchange Market Volatility Spillover In Time Of Crisis: Evidence From A Smooth...

Persistent link: https://www.econbiz.de/10013503483

Weak Convergence of Hedging Strategies of Contingent Claims

Prigent, Jean-Luc; Scaillet, Olivier - 2002

This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.

Persistent link: https://www.econbiz.de/10005843299

Weak Convergence of Hedging Strategies of Contingent Claims

Prigent, Jean-Luc; Scaillet, Olivier - Université <Genève> / Section des Hautes Etudes … - 2002

This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets. We examine the convergence of the so-called locally risk-minimizing strategy.(...)

Persistent link: https://www.econbiz.de/10005843579

Risk management decisions and value under uncertainty

Barone-Adesi, Giovanni (ed.); Clark, Ephraim (ed.); … - 2022

Persistent link: https://www.econbiz.de/10013288061

On Path-Dependent Structured Funds : Complexity Does Not Always Pay (Asian versus Average Performance Funds)

Bertrand, Philippe - 2014

, namely Option Based Portfolio Insurance. Surprisingly, our study reveals that funds based on averages of calls do better than …

Persistent link: https://www.econbiz.de/10013063432

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