Jean-Luc Prigent

15 papers Journal 15
YearRankTypeTitle / Venue / Authors
2026 J jnl
On the performance of factor investing: an analysis based on constant mix and buy-and-hold strategies.
Ann. Oper. Res.
Philippe Bertrand, Jean-Luc Prigent
2024 J jnl
Operational research insights on risk, resilience & dynamics of financial & economic systems.
Ann. Oper. Res.
Hachmi Ben Ameur, Ephraim Clark, Zied Ftiti, Jean-Luc Prigent
2022 J jnl
On the risk management of demand deposits: quadratic hedging of interest rate margins.
Ann. Oper. Res.
Alexandre Adam, Hamza Cherrat, Mohamed Houkari, Jean Paul Laurent, Jean-Luc Prigent
2022 J jnl
Risk management decisions and value under uncertainty.
Ann. Oper. Res.
Giovanni Barone-Adesi, Ephraim Clark, Jean-Luc Prigent
2019 J jnl
Mixed-asset portfolio allocation under mean-reverting asset returns.
Ann. Oper. Res.
Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Philippe Bertrand, Jean-Luc Prigent
2019 J jnl
On the optimality of path-dependent structured funds: The cost of standardization.
Eur. J. Oper. Res.
Philippe Bertrand, Jean-Luc Prigent
2019 J jnl
Preface: decision making and risk/return optimization in financial economics.
Ann. Oper. Res.
Farid AitSahlia, Giovanni Barone-Adesi, Ephraim Clark, Jean-Luc Prigent
2018 J jnl
On the robustness of portfolio allocation under copula misspecification.
Ann. Oper. Res.
Abdallah Ben Saida, Jean-Luc Prigent
2018 J jnl
Preface: Risk management decisions and wealth management in Financial Economics.
Ann. Oper. Res.
Hatem Ben Ameur, Ephraim Clark, André de Palma, Jean-Luc Prigent
2018 J jnl
Risk management of time varying floors for dynamic portfolio insurance.
Eur. J. Oper. Res.
Hatem Ben Ameur, Jean-Luc Prigent
2014 J jnl
Portfolio insurance: Gap risk under conditional multiples.
Eur. J. Oper. Res.
Hatem Ben Ameur, Jean-Luc Prigent
2009 J jnl
Standardized versus customized portfolio: a compensating variation approach.
Ann. Oper. Res.
André de Palma, Jean-Luc Prigent
2008 J jnl
Hedging global environment risks: An option based portfolio insurance.
Autom.
André de Palma, Jean-Luc Prigent
2001 J jnl
Option Pricing with a General Marked Point Process.
Math. Oper. Res.
Jean-Luc Prigent
2000 J jnl
Convergence of discrete time option pricing models under stochastic interest rates.
Finance Stochastics
Jean-Philippe Lesne, Jean-Luc Prigent, Olivier Scaillet