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Rania Hentati Kaffel

18

Documents

Présentation

Domaines de recherche

Gestion de portefeuilles [q-fin.PM] Mathématiques [math] Économie et finance quantitative [q-fin]

Compétences

Econométrie financière Gestion de Portefeuille Modèles de prévisions Mesures de performance Risk Management Machine Learning & Finance

Publications

	The Impact of Low-Carbon Policy on Stock Returns Rania Hentati-Kaffel , Alessandro Ravina SSRN Electronic Journal, 2020, ⟨10.2139/ssrn.3444168⟩ Article dans une revue hal-03045804v1
	Forecast bankruptcy using a blend of clustering and MARS model: case of US banks Zeineb Affes , Rania Hentati-Kaffel Annals of Operations Research, 2019, 281 (1-2), pp.27-64. ⟨10.1007/s10479-018-2845-8⟩ Article dans une revue hal-03045877v1
	Predicting US Banks Bankruptcy: Logit Versus Canonical Discriminant Analysis Zeineb Affes , Rania Hentati-Kaffel Computational Economics, 2019, 54 (1), pp.199-244. ⟨10.1007/s10614-017-9698-0⟩ Article dans une revue hal-03045837v1
	Structured products under generalized kappa ratio Rania Hentati Economic Modelling, 2016, 58, pp.599-614. ⟨10.1016/j.econmod.2016.03.009⟩ Article dans une revue hal-01306629v1
	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⟩ Article dans une revue hal-01299840v1
	Detecting performance persistence of hedge funds Rania Hentati , Philippe de Peretti Economic Modelling, 2015, 47, pp.185-192. ⟨10.1016/j.econmod.2015.02.029⟩ Article dans une revue hal-03045892v1
	Generalized runs tests to detect randomness in hedge funds returns Rania Hentati , Philippe de Peretti Journal of Banking and Finance, 2015, 50, pp.608-615. ⟨10.1016/j.jbankfin.2014.07.011⟩ Article dans une revue hal-01299827v1
	Detecting performance persistence of hedge funds Rania Hentati , Philippe de Peretti Economic Modelling, 2015, 47, pp.185-192. ⟨10.1016/j.econmod.2015.02.029⟩ Article dans une revue hal-01299837v1
	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⟩ Article dans une revue hal-00608960v1
	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 Article dans une revue 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 Article dans une revue hal-00608962v1

	PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS Rania Hentati , Jean-Luc Prigent International Conference on Applied Financial Economics, Jun 2011, samos, Greece. pp.565-572 Communication dans un congrès hal-00607105v1

	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⟩ Chapitre d'ouvrage hal-00607102v1

	Forecast bankruptcy using a blend of clustering and MARS model - Case of US banks Zeineb Affes , Rania Hentati-Kaffel 2016 Autre publication scientifique halshs-01314553v1
	Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis Zeineb Affes , Rania Hentati-Kaffel 2016 Autre publication scientifique halshs-01281948v1

	Portfolio Optimization within Mixture of Distributions Rania Hentati-Kaffel , Jean-Luc Prigent 2014 Pré-publication, Document de travail hal-01066105v1
	Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis Rania Hentati-Kaffel , Philippe de Peretti 2014 Pré-publication, Document de travail hal-00984777v1
	Structured portfolio analysis under SharpeOmega ratio Rania Hentati , Jean-Luc Prigent 2012 Pré-publication, Document de travail hal-00657327v1