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Another look at portfolio optimization under tracking-error constraints

Bertrand, Philippe - In: Financial analysts' journal : FAJ 66 (2010) 3, pp. 78-90

Persistent link: https://www.econbiz.de/10003983976

Obligation à réinvestissement optionnel du coupon : prix à l'émission et évaluation de la position en chaque instant

Bertrand, Philippe - In: Finance : revue de l'Association Française de Finance 14 (1993) 2, pp. 23-41

Persistent link: https://www.econbiz.de/10001157710

The sensitivity of the asymptotic variance of performance measures with respect to skewness and kurtosis

Bertrand, Philippe; Protopopescu, Costin - In: International journal of business 13 (2008) 4, pp. 349-360

Persistent link: https://www.econbiz.de/10003770619

The statistics of the information ratio

Bertrand, Philippe; Protopopescu, Costin - In: International journal of business 15 (2010) 1, pp. 71-86

Persistent link: https://www.econbiz.de/10003959034

Portfolio insurance strategies : OBPI versus CPPI

Bertrand, Philippe; Prigent, Jean-Luc - In: Finance : revue de l'Association Française de Finance 26 (2005) 1, pp. 5-32

Persistent link: https://www.econbiz.de/10003229682

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

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

Equilibrium of Financial Derivative Markets and Compensating Variations Under Portfolio Insurance Constraints

Bertrand, Philippe - 2012

This paper examines the equilibrium of portfolio under insurance constraints on the terminal wealth. We consider a single period economy in which agents search to maximize the expected utilities of their terminal wealths. Both partial and general optimal financial equilibria are determined and...

Persistent link: https://www.econbiz.de/10013105193

The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis

Bertrand, Philippe - 2015

Performance measures such as the Sharpe ratio and the information ratio are estimation subject to estimation error. Lo (2002) derives the explicit expressions for the statistical distribution of the Sharpe ratio. Bertrand and Protopopescu (2007) have extended his work to the bivariate case which...

Persistent link: https://www.econbiz.de/10013014655