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authFullName_s : Jean-Luc Prigent

Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination

Rania Hentati , Jean-Luc Prigent
Nonlinear Modeling of Economic and Financial Time-Series, Emerald Group Publishing Limited, pp.83-109, 2010, International Symposia in Economic Theory and Econometrics ; 20, ⟨10.1108/S1571-0386(2010)0000020009⟩
Book sections hal-00607102v1
Image document

Portfolio Optimization within Mixture of Distributions

Rania Hentati-Kaffel , Jean-Luc Prigent
Preprints, Working Papers, ... hal-01066105v1

On the risk management of demand deposits: quadratic hedging of interest rate margins

Alexandre Adam , Hamza Cherrat , Mohamed Houkari , Jean-Paul Laurent , Jean-Luc Prigent
Annals of Operations Research, 2020, ⟨10.1007/s10479-020-03726-1⟩
Journal articles hal-03676446v1

Ownership structure and stock market liquidity: evidence from Tunisia

Rania Hentati , Jean-Luc Prigent , Nadia Belkhir Boujelbene , Abdelfatteh Bouri , Jean Luc Prigent
International Journal of Managerial and Financial Accounting, 2011, 3 (1), pp.91. ⟨10.1504/IJMFA.2011.038365⟩
Journal articles hal-03679711v1

VaR and Omega measures for hedge funds portfolios: A copula approach

Rania Hentati , Jean-Luc Prigent
Bankers Markets & Investors : an academic & professional review, 2011, 110, pp.51-64
Journal articles hal-00608961v1

Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures

Rania Hentati , Ameur Kaffel , Jean-Luc Prigent
International Journal of Business, 2010, 15 (1), pp.1-17
Journal articles hal-00608962v1

Optimal positioning in financial derivatives under mixture distributions

Rania Hentati , Jean-Luc Prigent
Economic Modelling, 2016, Special Issue on Recent Developments in Decision-Making, Monetary Policy and Financial Markets, 52 (2), ⟨10.1016/j.econmod.2015.02.021⟩
Journal articles hal-01299840v1
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A Risk Management Approach for Portfolio Insurance Strategies

Benjamin Hamidi , Bertrand Maillet , Jean-Luc Prigent
Other publications halshs-00389789v1

On the maximization of financial performance measures within mixture models

Rania Hentati , Jean-Luc Prigent
Statistics and Decisions, 2011, 28 (1), pp.63-80. ⟨10.1524/stnd.2011.1083⟩
Journal articles hal-00608960v1


Rania Hentati , Jean-Luc Prigent
International Conference on Applied Financial Economics, Jun 2011, samos, Greece. pp.565-572
Conference papers hal-00607105v1
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Structured portfolio analysis under SharpeOmega ratio

Rania Hentati , Jean-Luc Prigent
Preprints, Working Papers, ... hal-00657327v1