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Articles

• Dynamic connectedness and optimal hedging strategy among commodities and financial indices Prigent Jean-Luc, Néjib Hachira, Amine Ben Amar, Ikrame Ben Slimane, Makram Bellalah , International review of financial analysis, 83 , 2022
• On the risk management of demand deposits : quadratic hedging of interest rate margins Prigent Jean-Luc, A. Adam, H. Cherrat, M. Houkari, J.-P. Jean-Paul Laurent , Annals of operations research, 313 (2), p.1319-1355, 2022
• Performance participation strategies : OBPP versus CPPP Prigent Jean-Luc, Philippe Bertrand , Finance, Presses universitaires de Grenoble, 43 (1), p.123-150, 2022
• Preface : risk management decisions and value under uncertainty Prigent Jean-Luc, G. Barone-Adesi, E. Clark , Annals of operations research, 313 (2), p.603-604, 2022
• On the hedging of interest rate margins on bank demand deposits Prigent Jean-Luc, H. Cherrat , Computational economics, Forthcoming , 2022
• On the sovereign debt crisis : sovereign credit default swaps and their interaction with stock market indices Prigent Jean-Luc, Applied economics, Forthcoming , 2021
• About long-term (cross-currency) Bermuda swaption pricing Prigent Jean-Luc, Bünyamin Erkan , Computational economics, 56 (1), p.239-262, 2020
• Optimal portfolio positioning on multiple assets under ambiguity Prigent Jean-Luc, Hechmi Ben Ameur, Mouna Boujelbène, Emna Triki , Computational economics, 56 (1), p.21-57, 2020
• A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates Prigent Jean-Luc, F. Mkaouar, Ilyes Abid , Computational economics, 54 (1), p.367-417, 2019
• Information Asymmetry, Cluster Trading, and Market Efficiency : Evidence from the Chinese Stock Market Prigent Jean-Luc, Yingyi Hu , Economic modelling, 80 , p.11-22, 2019
• Mixed-asset portfolio allocation under mean-reverting asset returns Barthélémy Fabrice, Charles-Olivier Amédée-Manesme, Philippe Bertrand , Annals of operations research, 281 (1-2), p.65-98, 2019
• On the optimality of path-dependent structured funds : The cost of standardization Prigent Jean-Luc, Philippe Bertrand , European journal of operational research, 277 , p.333-350, 2019
• Preface : Decision Making and Risk/Return Optimization in Financial Economics Prigent Jean-Luc, Hatem Ben Ameur, Ephraim Clark, André De Palma , Annals of operations research, 281 (1-2), 2019
• Optimal employee ownership contracts under ambiguity aversion Prigent Jean-Luc, N. Aubert, H. Ben Ameur, G. Garnotel , Economic inquiry, 56 (1), p.238-251, 2018
• On the robustness of portfolio allocation under copula misspecification Prigent Jean-Luc, A. Ben Saida , Annals of operations research, 262 (2), p.631-652, 2018
• Risk Management of Time Varying Floors for Dynamic Portfolio Insurance Prigent Jean-Luc, Hachmi Ben Ameur , European journal of operational research, 269 (1), p.363-381, 2018
• Duration models for credit rating migration : Evidence from the financial crisis Prigent Jean-Luc, Adel Karaa, Myriam Ben Ayed , Economic inquiry, 56 (3), p.1870-1886, 2018
• Preface : Risk management decisions and wealth management in financial economics Prigent Jean-Luc, Hatem Ben Ameur, Ephraim Clark, André De Palma , Annals of operations research, 262 (2), p.239-240, 2018
• Residential real estate in a mixed-asset portfolio Prigent Jean-Luc, Philippe Bertrand , Bankers, Markets and Investors, 150 , p.3-20, 2018
• Long-term investment with stochastic interest and inflation rates : The need for inflation-indexed bonds Prigent Jean-Luc, F. Mkaouar, Ilyes Abid , Economic modelling, 67 , p.228-247, 2017
• Optimal portfolio positioning within generalized Johnson distributions Prigent Jean-Luc, N. Naguez , Quantitative finance, 17 (7), p.1037-1055, 2017
• Market inconsistencies of the market-consistent European life insurance economic valuations : pitfalls and practical solutions Prigent Jean-Luc, Nicole El Karoui, Stéphane Loisel, Julien Vedani , European Actuarial Journal, 7 (1), p.1-28, 2017
• Real estate investment : Market volatility and optimal holding period under risk aversion Barthélémy Fabrice, C. Amédée-Manesme , Economic modelling, 58 , p.543-555, 2016
• Equilibrium of financial derivative markets under portfolio insurance constraints Prigent Jean-Luc, P. Bertrand , Economic modelling, 52 (Part A), p.278-292, 2016
• Optimal funding and hiring policies under mean reverting demand Prigent Jean-Luc, O. Bouasker, N. Létifi , Economic modelling, 58 , p.569-579, 2016
• Optimal positioning in financial derivatives under mixture distributions Prigent Jean-Luc, R. Hentati , Economic modelling, 52 (Part A), p.115-125, 2016
• On the diversity score : a copula approach Prigent Jean-Luc, A. Ben Saida , Statistics: A Journal of Theoretical and Applied Statistics, 51 (1), p.188-204, 2016
• On the stochastic dominance of portfolio insurance strategies Prigent Jean-Luc, H. Maalej , Journal of Mathematical Finance, 6 , p.14-27, 2016
• On path-dependent structured funds : Complexity does not always pay (Asian versus Average performance funds) Prigent Jean-Luc, P. Bertrand , Finance, 36 , p.67-105, 2015
• French retail financial structured products : A typology and assessment of their fair pricing, Bankers Prigent Jean-Luc, P. Bertrand , Markets and Investors, 135 , p.5-19, 2015
• Corporate governance and market microstructure : Evidence on institutional investors in the Tunisian stock exchange Prigent Jean-Luc, Belkhir Boujelbene Nadia, Bouri Abdelfatteh , International Journal of Academic Research in Accounting, Finance and Management Sciences, 4 (2), p.58-71, 2014
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies Prigent Jean-Luc, B. Maillet, B. Hamidi , Journal of economic dynamics and control, 46 , p.1-29, 2014
• On the optimality of funding and hiring/firing according to stochastic demand : the role of growth and shutdown options Prigent Jean-Luc, N. Letifi , Economic modelling, p.410-422, 2014
• Portfolio insurance : Gap risk under conditional multiples Prigent Jean-Luc, H. Ben Ameur , European journal of operational research, 236 , p.238-253, 2014
• Analysis and comparison of leveraged ETFs and CPPI-type leveraged strategies Prigent Jean-Luc, Philippe Bertrand , Finance, 34 , p.73-116, 2013
• Optimal portfolio positioning under ambiguity Prigent Jean-Luc, Hachmi Ben Ameur , Economic modelling, 34 , p.89-97, 2013
• Corporate investment choice and exchange option between production functions Prigent Jean-Luc, O. Bouasker , International journal of business, Vol. 17 , 2012
• Optimal international diversification with constraints Prigent Jean-Luc, M. Mhiri , International journal of business, Vol. 17 , p.181-193, 2012
• Ownership structure and stock market liquidity : evidence from Tunisia Prigent Jean-Luc, Boujelbene N., Bouri A. , International Journal of Managerial and Financial Accounting, 3(1) , p.91-109, 2011
• CPPI method with a conditional floor Prigent Jean-Luc, H. Ben Ameur , International journal of business, 2011
• VaR and Omega measures for hedge funds portfolios Prigent Jean-Luc, R. Hentati , Bankers, Markets and Investors, 110 , p.51-63, 2011
• Maximization of performance measures for mixture models Prigent Jean-Luc, R. Hentati , Statistics and Decisions, 28 , p.63-80, 2011
• Omega performance measure and portfolio insurance Prigent Jean-Luc, P. Bertrand , Journal of banking and finance, 35 , p.1811-1823, 2011
• Kappa performance measures with Johnson distributions Prigent Jean-Luc, N. Naguez , International journal of business, 2011
• La directive MiFID et le positionnement optimal des OPCVM Prigent Jean-Luc, A. de Palma , Revue du Financier, 178 , p.57-67, 2010
• International portfolio optimization with higher moments Prigent Jean-Luc, M. Mhiri , International Journal of Economics and Finance, 2(5) , p.157-169, 2010
• A note on risk aversion, prudence and portfolio insurance Prigent Jean-Luc, P. Bertrand , Geneva risk and insurance review, 35 , p.81-92, 2010
• Dynamic versus static optimization of hedge fund portfolios : the relevance of performance measures Prigent Jean-Luc, R. Hentati, A. Kaffel , International journal of business, 15(1) , p.1-17, 2010
• CPPI effectiveness under transaction costs Prigent Jean-Luc, F. Mkaouar , International journal of business, 15(3) , p.243-253, 2010
• Behaviour towards risk in structured portfolio management Prigent Jean-Luc, H. Ben Ameur , International Journal of Economics and Finance, 2(5) , p.91-102, 2010
• Optimal Time to Sell in Real Estate Portfolio Management Barthélémy Fabrice, Journal of real estate finance and economics, 38 (1), p.59-87, 2009
• Standardized versus customized portfolio : a compensating variation approach Prigent Jean-Luc, De Palma A. , Annals of operations research, 165(1) , p.161-185, 2009
• Ownership structure and bid-ask spread : evidence from Tunisian companies Prigent Jean-Luc, Boujelbene Nadia Belkhir , Corporate Ownership and Control, Vol. 5 , p.445-452, 2008
• Firm’s value under investment irreversibility, stochastic demand and general production function Prigent Jean-Luc, Bouasker O. , International journal of business, 13(4) , p.315-330, 2008
• Utilitarianism and fairness in portfolio positioning Prigent Jean-Luc, De Palma A. , Journal of banking and finance, 32 , p.1648-1660, 2008
• Hedging global environment risks : An option based portfolio insurance Prigent Jean-Luc, De Palma A. , Automatica, 44 (6), p.1519-1531, 2008
• Optimal portfolios with guarantee at maturity : computation and comparison Prigent Jean-Luc, Tahar F. , International journal of business, 11 (2), p.171-185, 2006
• Portfolio management with safety criteria in complete financial markets Prigent Jean-Luc, Toumi S. , International journal of business, 10 (3), p.233-250, 2005
• Portfolio insurance strategies : OBPI versus CPPI Prigent Jean-Luc, Bertrand P. , Finance, 26 (1), p.5-32, 2005
• Option pricing with discrete rebalancing Prigent Jean-Luc, O. Renault , O. Scaillet , Journal of empirical finance, 11 , p.133-161, 2004
• Evaluation of financial structured products : an application of the extreme value theory Prigent Jean-Luc, Bertrand P. , International Journal of Finance, 15 , 2004
• Portfolio insurance strategies : a comparison of standard methods when the volatility of the stock is stochastic Prigent Jean-Luc, P. Bertrand , International journal of business, 8 , p.461-472, 2003
• Optimisation de portefeuille sous contrainte de variance de la tracking-error Prigent Jean-Luc, P. Bertrand, R. Sobotka , Banque et Marchés, 13 , p.1826-1836, 2002
• Pricing standard and exotic options in the presence of a finite mixture of Gaussian distributions Prigent Jean-Luc, M. Bellalah , International Journal of Finance, 13(3) , p.1974-2000, 2002
• Portfolio insurance : the extreme value approach to the CPPI method Prigent Jean-Luc, P. Bertrand , Finance, 23 , p.69-86, 2002
• Option pricing with a general marked point process Prigent Jean-Luc, Mathematics of operations research, 26 , p.50-66, 2001
• Gestion de portefeuille avec garantie : l’allocation optimale en actifs dérivés Prigent Jean-Luc, P. Bertrand, J.P. Lesne , Finance, 22 , p.7-35, 2001
• An empirical estimation in credit spread indices Prigent Jean-Luc, O. Renault, O. Scaillet , Journal of risk, 3 , p.27-55, 2001
• Skew without Skewness : asymmetric smiles, information costs and stochastic volatility Prigent Jean-Luc, M. Bellalah , International Journal of Finance, 13(2) , p.1826-1836, 2001
• Assurance du portefeuille : analyse et extension de la méthode du coussin Prigent Jean-Luc, Banque et marchés, 51 , p.33-39, 2001
• A general subordinated stochastic process for the derivatives pricing Prigent Jean-Luc, J.P. Lesne , International journal of theoretical and applied finance, 4 , p.121-146, 2001
• Convergence of discrete time options pricing models under stochastic rates Prigent Jean-Luc, J.P. Lesne, O. Scaillet , Finance and stochastics, 4 , p.81-93, 2000
• Pricing with a vertical liquidity premium Prigent Jean-Luc, M. Bellalah , Fineco, 9 , p.109-118, 1999
• Lookback and barriers options : a comparison between Black-Scholes and ACB Pricing Prigent Jean-Luc, O. Renault, O. Scaillet , Finance, 20 , p.143-152, 1999
• L’évaluation des options sur indices avec une volatilité composite Prigent Jean-Luc, M. Bellalah , Banque et marchés, 39 , p.28-35, 1999
• Incomplete markets : convergence of options values under the minimal martingale measure Prigent Jean-Luc, Advances in Applied Probability, 31 , p.1058-1077, 1999
• A note on the Valuation of an Exotic Timing Option Bellalah Mondher, M. Bellalah , Journal of futures markets, 17 , p.483-487, 1997

Documents de travail

• Modified Sharpe Ratios in Real Estate Performance Measurement : Beyond the Standard Cornish Fisher Expansion
  Barthélémy Fabrice, Prigent Jean-Luc, Keenan Donald, Charles-Olivier Amédée-Manesme, Mahdi Mokrane , 2017-20, 2017
• Real Estate Investment : Market Volatility and Optimal Holding Period under Risk Aversion
  Barthélémy Fabrice, Prigent Jean-Luc, Charles-Olivier Amédée-Manesme , 2015-21, 2015
• Real Estate Portfolio Management : Optimization under Risk Aversion Barthélémy Fabrice, Prigent Jean-Luc, 2011-12, 2011
• Regret theory and portfolio management Prigent Jean-Luc, Mim?o THEMA, 2007
• Weak convergence with transaction costs Prigent Jean-Luc, Mim?o THEMA, 2007
• Structure equations and option pricing Prigent Jean-Luc, Probability Theory and Related Fields, Mim?o THEMA, 2006
• Optimal portfolio positioning Prigent Jean-Luc, De Palma A. , THEMA Working Papers, 2003-24, 2003
• Optimal portfolio : towards an operational decision support system Prigent Jean-Luc, De Palma A. , THEMA Working Papers, 2003-25, 2003
• Weak Convergence of Hedging Strategies of Contingent Claims Prigent Jean-Luc, FAME Research Paper Series, rp39, 2002
• Option Pricing with Discrete Rebalancing Prigent Jean-Luc, Renault O. , FAME Research Paper Series, rp55, 2002
• An Autoregressive Conditional Binomial Option Pricing Model Prigent Jean-Luc, Renault O. , Financial Markets Group, dp364, 2000
• Weak Convergence of Hedging Strategies of Contingent Claims Prigent Jean-Luc, THEMA Working Papers, 2000-50, 2000
• Portfolio Insurance : The extreme Value of the CCPI Method Prigent Jean-Luc, Bertrand P. , THEMA Working Papers, 2000-49, 2000
• An Empirical Estimation in Credit Spread Indices Prigent Jean-Luc, Renault O. , THEMA Working Papers, 2000-51, 2000
• Gestion de portefeuille avec garantie : l’allocation optimale en actifs derives Prigent Jean-Luc, Bertrand P., Lesne J.-P. , G.R.E.Q.A.M., 00a03, 2000
• Strategies optimales d’allocation de portefeuilles internationaux avec contraintes Barthélémy Fabrice, Prigent Jean-Luc, Mokrane M. , THEMA Working Papers, 2000-32, 2000
• Optimality of portfolio insurance The extended CPPI method Prigent Jean-Luc, THEMA Working Papers, 99-48, 1999
• Option pricing with discrete rebalancing Prigent Jean-Luc, Renault O. , THEMA Working Papers, 99-41, 1999
• Optimal portfolio under insurance constraints on the horizon wealth Prigent Jean-Luc, THEMA Working Papers, 99-47, 1999
• An autoregressive conditional binomial option pricing model under stochastic rates Prigent Jean-Luc, Renault O. , THEMA Working Papers, 99-40, 1999
• Option Pricing with a General Market Point Process Prigent Jean-Luc, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9736, 1997
• Incomplete Markets : Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case Prigent Jean-Luc, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9735, 1997
• Convergence of Discrete Time Options Pricing Models under Stochastic Rates Prigent Jean-Luc, Lesne J.-P. , Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9734, 1997
• Implied risk neutral probability measures on options markets : The L2 approach Prigent Jean-Luc, Magnien F., Trannoy A. , THEMA Working Papers, 96-30, 1996
• A general subordinated stochastic process for the derivatives pricing Prigent Jean-Luc, Lesne J.-P. , THEMA Working Papers, 96-29, 1996
• Pricing of Contingent Claims from Discrete to Continuous Time Models : On the Robustness of the Black and Scholes Formula Prigent Jean-Luc, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9525, 1995
• Incomplete Markets : A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing Prigent Jean-Luc, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9526, 1995
• The private provision of public good in the case of satiation points : The case of a quasi-linear economy Prigent Jean-Luc, Trannoy A., Garalp B., Richelle Y. , CORE Discussion Papers, 1992034, 1992

Contribution à un livre

• Portfolio insurance : the extreme value approach to the CPPI method Prigent Jean-Luc, P. Bertrand , Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications, First Edition. Edited by François Longin. Published 2017 by John Wiley & Sons, Inc., 2017
• Estimation of non Gaussian returns : The hedge funds case Prigent Jean-Luc, Naguez, Naceur , Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications, International Symposia in Economic Theory and Econometrics, Vol., Emerald Press, 2012
• Long-term investment with stochastic interest and inflation rates : Incompleteness and compensating variation Prigent Jean-Luc, Mkaouar Farid , 6th International Finance Conference on Financial Crisis and Governance, Cambridge: Cambridge Scholars Publishing, 2011
• Gestion de Portefeuille : Analyse Quantitative et Gestion Structurée (2ed) Prigent Jean-Luc, Bertrand, Philippe , Paris: Economica, 2011
• Copula theory applied to hedge funds dependence structure determination Prigent Jean-Luc, R. Hentati , In Nonlinear Modeling of Economic and Financial Time Series, Series title: International Symposia in Economic Theory and Econometrics, F. Jawadi and W. Barnett eds, Emerald , 2011
• A Risk management approach for porfolio insurance strategies Prigent Jean-Luc, B. Hamidi, B. Maillet , Proceedings International Financial Research Forum, Economica, Paris, 2009
• Mesure de performance Oméga : applications en gestion alternative et garantie Prigent Jean-Luc, P. Bertrand , In Finance d'Entreprise et Finance de Marché : Complémentarité et Nouvelles Avancées (Ed. J.-M. Sahut), Editions Hermes, 2007
• Option hedging strategies : quantile versus quadratic-risk minimization Prigent Jean-Luc, S. Toumi , In Wilmott (Editions Wiley), 2006
• Assurance de portefeuille : le cas des mélanges finis gaussiens Prigent Jean-Luc, P. Bertrand , In Finance Contemporaine, Analyse, Evaluation et Applications, Economica, 2002
• Evaluation des actifs financiers en présence d’une volatilité stochastique : mélange fini ou infini de gaussiennes ? Prigent Jean-Luc, In Finance Contemporaine, Analyse, Evaluation et Applications, Economica, 2002
• Le coussin financier, chapitre 33 In Skopos Prigent Jean-Luc, Recueil pour l'Agrégation de mathématiques, Editions Springer, 2001
• Smile asymétriques et coûts d’information implicite : évidences empiriques sur le Monep Prigent Jean-Luc, In Gestion des Risques dans un Cadre International, Economica, 2000
• Stratégies optimales d’allocation de portefeuilles internationaux avec contraintes Prigent Jean-Luc, M. Mahdi , In Gestion des Risques dans un Cadre International, Economica, 2000
• Note de lecture pour la revue Finance sur l’ouvrage de Brigo-Mercurio : Interest rate models : theory and practice Prigent Jean-Luc, Editions Springer, -0001

Livres

• Risk Management and Value : Valuation and Asset Pricing World Scientific, 2008
• Portfolio Optimization and Performance Analysis Chapman & Hall, 2007
• Gestion de Portefeuille : Analyse Quantitative et Gestion Structurée Bertrand P. , Economica, 2006
• Weak Convergence of Financial Markets Springer, Berlin, 2003