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Fonctions

  • Since 2011 Professor of Finance, Department Finance, IAE d’Aix-en-Provence and CERGAM
  • 2006 – 2011    Professor of Finance, Aix-Marseille 2 University and GREQAM,                 UMR-CNRS 6579
  • 2005 – 2006    Professor of Finance, Montpellier University and GREQAM, UMR-            CNRS 6579
  • 1999 – 2005    Associate Professor of Finance Montpellier University and GREQAM,             UMR-CNRS 6579
  • 1997 – 1999    Head of the Financial Engineering CCF Capital Management
  • 1996 – 1997     Quantitative Analyst (Interest rates, Stocks) CCF Capital Management
  • 1994 – 1996    Associate Professor of Finance Montpellier University
  • 1993 – 1994    Assistant Professor Cergy University
  • 1991 – 1993    Assistant Professor Toulon University

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Education

  • 2005        Agrégation des universités in Management Science
  • 2002        Habilitation to supervise PhD dissertations, Paris-Dauphine University
  • 1993        Ph.D., Economics, EHESS (Ecole des Hautes Etudes en Sciences Sociales)
  • 1989        M.A., Economics, Aix Marseille University

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Research Activities

Research Areas

  • Performance measure
  • Portfolio Optimizations
  • Quantitative Asset Management

Research Grants

  • Procurement of a « Bonus Qualité Recherche » of 7500 euros for 2007-2008
  • 2009: procurement of a subvention of 32 500 € from the Conseil Régional PACA with Alain Trannoy (Directeur d’étude EHESS) on an open call for projects.
  • Mobility aid of 1940 euros granted by the Centre de Coopération universitaire Franco-Bavarois (CCUFB) through a scientific cooperation with Professor Zagst, Direktor, HVB-Stiftungsinstitut für Finanzmathematik, Technische Universität München.
  • Procurement of a 31 000 euros grant in June 2010 from the Observatoire Européen de l’Epargne with JL Prigent (Université de Cergy), J. Kraus (Munich) and O. Scaillet (HEC Geneva) on the topic: « Portfolio Insurance »

Publications in Revues

  • “Omega Performance Measure and Portfolio Insurance”, with JL Prigent, Journal of Banking and Finance, vol 35, issue 7, pp 1811-1823.
  • “Another Look at Portfolio Optimization under Tracking-Error Constraint”, 2010, Financial Analysts Journal, vol. 66, no. 3 (May/June), pp 78-90.
  • “A note on risk aversion, prudence and portfolio insurance”, 2010, with JL Prigent, Geneva Risk and Insurance Review, Volume 35, Issue 1, pp 81-92.
  • “Rentabilité Financière du Régime de Retraite Complémentaire PREFON: Existe-t-il une Stratégie Optimale ?”, 2010, forthcoming, Economie Publique.
  • •    “The Statistics of the information ratio”, 2010, with C., Protopopescu, International Journal of Business, Volume 15, No. 1.
  • “Risk-adjusted Performance Attribution and Portfolio Optimizations under Tracking-Error Constraints”, Journal of Asset Management, vol. 10, issue 2, June 2009.
  • “Risk Attribution and Portfolio Optimizations under Tracking-Error Constraints”, The Journal of Performance Measurement, 13(1), Fall 2008.
  • “The Sensitivity of the Asymptotic Variance of Performance Measures with respect to Skewness and Kurtosis”, with C., Protopopescu, International Journal of Business, 13(3), 2008.
  • “Performance des partenaires locaux des Coentreprises internationales dans les pays asiatiques : valorisation boursière et application de la théorie des coûts de transaction”, with P.X., Meschi, Management International, vol.10, n°2, Winter 2006.
  • “A Transactional Analysis of Chinese Partners’ Performance in International Joint Ventures”, with P.-X. Meschi, The Chinese Economy, vol. 38, n°2, March–April 2005, pp. 16–35.
  • “Portfolio Insurance Strategies: OBPI versus CPPI”, with J-L. Prigent; Finance, vol. 26, n°1, 2005, pp 5-32.
  • “A note on portfolio performance attribution: taking risk into account”, Journal of Asset Management, vol. 5, n°6, April 2005.
  • “L’attribution de performance en gestion de portefeuille”, with P. Rousseau, Revue Française de Gestion, vol. 31, n°154, 2005, pp 59-73.
  • “Evaluation of financial structured products: an application of the extreme value theory”, with JL. Prigent, International Journal of Finance, vol. 15, 2003, pp 2698-2708.
  • •    “Portfolio insurance strategies: a comparison of standard methods when the volatility of the stock is stochastic”, with JL. Prigent, International Journal of Business, 8(4), 2003, pp 461-472.
  • “Portfolio Insurance: the extreme value approach to the CPPI method”, with J-L. Prigent; Finance, September 2002.
  • “Gestion de portefeuille avec garantie : L'allocation optimale en actifs dérivés” with J-L. Prigent and J-P. Lesne, Finance, June 2001.
  • “Optimisation de portefeuille sous contrainte de variance de la tracking-error”, with J-L. Prigent et R. Sobotka, Banque et Marchés, 54, Sept-Oct 2001, pp 19-28.
  • “Obligation à Réinvestissement Optionnel du Coupon : Prix à l'émission et évaluation de la position en chaque instant”, Finance, vol. 14, n° 2, December 1993.
  • “Evaluation des titres hypothécaires”, Notes Financières de la Banque Générale du Luxembourg, n° 26, March-April 1991, with R. Kast et A. Lapied.

Works and Collective Works

  • “Gestion de portefeuille : analyse quantitative et gestion structurée”, with J.L. Prigent, 2ème édition, janvier 2012, Economica collection gestion.
  • “Quelques éléments sur la crise des crédits subprime et la crise de liquidité de 2007- ?”, 2009, Management - Enjeux de demain, Vuibert.
  • “Mesure de Performance Omega : applications en gestion alternative et garantie”, with J-L. Prigent, dans Finance d’entreprise – finance de marché : complémentarités et nouvelles approches, Hermes, 2007.
  • “Méthodes d’assurance de portefeuille en présence de sauts dans la dynamique des rendements”, with J-L. Prigent, dans Gestion des risques, ouvrage collectif, éditeur M. Bellalah, Economica, 2002.
  • “Gestion de portefeuille : analyse quantitative et gestion structurée”, with J.L. Prigent, octobre 2006, Economica collection gestion. Reissue requested by the publisher.

Communications in Congress

  • June 1998 : International Conference of the French Finance Association, Lille, “Gestion de Portefeuille avec Garantie : l’Allocation Optimale en Actifs Dérivés”.
  • June 2000 : International Conference of the French Finance Association, ESCP Paris, “Optimisation de portefeuille sous contrainte de variance de la tracking-error”.
  • June 2001 : International Conference of the French Finance Association, Namur, “Portfolio Insurance Strategies : OBPI versus CPPI”.
  • Septembre 2001 : International Conference of the European Investment Review, “Portfolio Insurance Strategies : OBPI versus CPPI ”.
  • June 2002 : Applied Microeconomics Conference, “Portfolio Insurance Strategies : OBPI versus CPPI ”.
  • June 2002 : International Conference of the French Finance Association, “Portfolio Insurance : the extreme value approach to the CPPI method”.
  • Août 2002 : Econometric Society European Meeting, Venice, “Portfolio Insurance : the extreme value approach to the CPPI method”.
  • Septembre 2002 : Conférence internationale de l’European Investment Review, LSE, “Portfolio Insurance Strategies : OBPI versus CPPI”.
  • Mars 2003 : Conférence internationale de Finance, Tunis, “Portfolio Insurance Strategies : OBPI versus CPPI”.
  • June 2004: International Conference of the French Finance Association, Paris, “Attribution de performance et de risque en gestion de portefeuille”
  • June 2005: International Conference of the French Finance Association, Paris, “A note on portfolio performance attribution : taking risk into account”.
  • May 2006: Thirteen International Conference “Forecasting Financial Markets”, Aix-en-Provence, “The Statistics of the information ratio”.
  • June 2006: International Conference of the French Finance Association, Poitiers, “Omega Performance Measure and Portfolio Insurance”.
  • Mars 2007: 4th International Finance Conference, Tunis, “The Statistics of the information ratio”.
  • June 2007: International Conference of the French Finance Association, Bordeaux, “The Statistics of the information ratio”.
  • May 2008: International Conference of the French Finance Association, Lille, “Another Look at Portfolio Optimization under Tracking-Error Constraint”.
  • Octobre 2008: Etats Généraux du Management organisés par la FNEGE, Palais du Luxembourg, “Quelques éléments sur la crise des crédits subprime et la crise de liquidité de 2007- ?”.
  • May 2009: International Conference of the French Finance Association, Brest, “Risk-adjusted Performance Attribution and Portfolio Optimizations under Tracking-Error Constraints”
  • May 2010: International Conference of the French Finance Association, Saint Malo, “Theory of Performance Participation Strategies”.
  • May 2011: International Conference of the French Finance Association, Montpellier, “Analysis and Comparison of Leveraged ETFs and CPPI-Type Leveraged Strategy”.
  • June 2011: Applied Microeconomics Conference, Sousse, “Analysis and Comparison of Leveraged ETFs and CPPI-Type Leveraged Strategy”.

Communications in Seminars

  • Novembre 2001 : seminar of the « Fonds Banque Royale en finance » - “Portfolio Optimization under tracking-error constraint”, Laval University, Québec.
  • Mars 2002 : “Portfolio Insurance Strategies : OBPI versus CPPI”, seminar of « Direction de la recherche et de l’innovation, CCF ».
  • Janiver 2003 : “Portfolio Insurance Strategies : OBPI versus CPPI”, Finance Seminar, HEC Genève.
  • Mars 2003 : “Portfolio Insurance Strategies : OBPI versus CPPI”, Seminar, GRID ENS Cachan.
  • June 2009 : “Another Look at Portfolio Optimization under Tracking-Error Constraint”, HVB Institute for Mathematical Finance, Technische Universitat Munchen.

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Other Professional Activities

Membre de comité de lecture ou de comité scientifique

  • Expert for AERES, the French Agency of Evaluation of Research and Higher Education, since 2009.
  • Expert for ANR, the French National Research Agency
  • Member of the Editorial Advisory Board of “Competitiveness Review: An International Business Journal”, Emerald Publishing.
  • Member of the scientific committee of the international conferences organized by AFFI every year in December and in June.
  • Ad hoc Referee: Cahiers Economiques de Bruxelles, Economie & Prévision, Finance, International Journal of Managerial Finance, Competitiveness Review, Quantitative Finance, Financial Analysts Journal, Journal of risk and Insurance, Journal of Banking and Finance.

Membre d'associations scientifiques

  • Secretary-general and member of the executive board of the French Finance Association (AFFI).
  • Jury member of the 2010 AFFI thesis prize

Participation à des jurys de thèses/HDR

  • M. F. Tahar, novembre 2005, Cergy University
  • M. Makram Bellalah, mars 2008, Paris-Dauphine. University
  • M. Slim Hassairi, décembre 2008, Avignon University
  • Mlle. Ghada Abbas, décembre 2008, Aix-Marseille University
  • M. Fabrice Barthelemy (HDR), février 2009, Cergy-Pontoise University
  • M. Tuan-Anh Phung, janvier 2010, Montpellier 1 University
  • M.Nicolas Aubert (HDR), June 2010, Aix-Marseille University
  • M. Julien Marcilly, October 2010, ParisDauphine University.

Direction de thèses/HDR

  • V. Lapointe, GREQAM, « Corporate Social Responsibility », start: October 2010.

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Pedagogical Activities

Matières enseignées

  • Quantitative Asset Management (Graduate)
  • Derivatives Pricing (Graduate)
  • Financial Risk Management (Graduate)
  • Theory of Asset Valuation (Graduate)
  • Financial Management (Graduate)
  • Introduction to Actuarial Science (Graduate)
  • Introduction to Finance (Undergraduate)
  • Research method in Management (Undergraduate)
  • Statistics (Undergraduate)
  • Mathematics (Undergraduate)

Activités de visiting

  • Université Erasmus de Rotterdam, 15-25 June 1991 (invited by Professor A. Vorst).
  • Université de Bonn, 14-28 January 1993 (invited by Professor D. Sondermann).
  • Université de Laval, Québec, 5-15 November 2001, (invited by Professor J. Saint-Pierre).
  • Munich University, June 2009, (invited by Professor R. Zagst).
  • Munich University, 4-11 December 2010, (invited by Professor R. Zagst).

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