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A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates

Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Computational economics 54 (2019) 1, pp. 367-417

Persistent link: https://www.econbiz.de/10012134192

On the optimality of path-dependent structured funds : the cost of standardization

Bertrand, Philippe; Prigent, Jean-Luc - In: European journal of operational research : EJOR 277 (2019) 1, pp. 333-350

Persistent link: https://www.econbiz.de/10012015036

Decision making and risk/return optimization in financial economics

AitSahlia, Farid (ed.); Barone-Adesi, Giovanni (ed.); … - International Finance Conference <9., 2017, Paris> - 2019

Persistent link: https://www.econbiz.de/10012110818

Portfolio Management with Safety Criteria in Complete Financial Markets

Prigent, Jean-Luc - 2005

We examine portfolio asset management under safety constraints that control the probability that the portfolio return falls under a given reference level. We extend previous results of Roy (1952) and Kataoka (1963) that have been proved in a one-period setting to both multiperiod discrete-time...

Persistent link: https://www.econbiz.de/10012784428

Portfolio Insurance Strategies : A Comparison of Standard Methods When the Volatility of the Stock is Stochastic

Prigent, Jean-Luc - 2003

We compare the performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI), when the volatility of the stock index is stochastic. In this framework, we provide a quite general formula for the...

Persistent link: https://www.econbiz.de/10012739372

A Dynamic Autoregressive Expectile for Time-Invariant Portfolio Protection Strategies

Hamidi, Benjamin - 2018

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called quot;Constant Proportion Portfolio Insurancequot; (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method...

Persistent link: https://www.econbiz.de/10012706401

Portfolio Insurance Strategies : OBPI Versus CPPI

Bertrand, Philippe - 2014

We compare performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). First we examine basic properties of these two strategies and compare them by means of various criteria: comparison of...

Persistent link: https://www.econbiz.de/10012710377

A Note on Risk Aversion, Prudence and Portfolio Insurance

Bertrand, Philippe - 2008

This paper examines some properties of optimal portfolio positioning that are linked with the risk aversion and the prudence of the investor. It introduces the ratio of the degree of absolute prudence on the absolute risk aversion. This one allows the analysis of the degree of...

Persistent link: https://www.econbiz.de/10012724163

Portfolio Insurance Strategies : OBPI versus CPPI

Bertrand, Philippe - 2008

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets and allows some participation in rising markets. Therefore, these properties prove the importance of such portfolio strategies. The two standard...

Persistent link: https://www.econbiz.de/10012771699

Optimal Portfolios with Guarantee at Maturity : Computation and Comparison

Prigent, Jean-Luc - 2006

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets. Besides, it allows some participation in rising markets. One of the standard portfolio insurance methods is the Constant Proportion Portfolio...

Persistent link: https://www.econbiz.de/10012780284