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Estimation of non-Gaussian returns : the hedge funds case
Naguez, Naceur; Prigent, Jean-Luc - In: Recent developments in alternative finance : empirical …, (pp. 247-272). 2012
Persistent link: https://www.econbiz.de/10009682737
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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
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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
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Portfolio management with safety criteria in complete financial markets
Prigent, Jean-Luc; Toumi, Salwa - In: International journal of business 10 (2005) 3, pp. 233-250
Persistent link: https://www.econbiz.de/10003176568
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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
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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
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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
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A general subordinated stochastic process for derivatives pricing
Lesne, J. L.; Prigent, Jean-Luc - In: International journal of theoretical and applied finance 4 (2001) 1, pp. 121-146
Persistent link: https://www.econbiz.de/10001554222
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A note on the valuation of an exotic timing option
Bellalah, Mondher - In: The journal of futures markets 17 (1997) 4, pp. 483-487
Persistent link: https://www.econbiz.de/10001221098
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Structured Portfolio Analysis Under Sharpe-Omega Ratio
Hentati Kaffel, Rania - 2011
This paper deals with performance measurement of financial structured products. For this purpose, we introduce the Sharpe-Omega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide general results about the...
Persistent link: https://www.econbiz.de/10013128106