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Rania Hentati Kaffel



Research domains

Portfolio Management [q-fin.PM] Mathematics [math] Quantitative Finance [q-fin]


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


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The Impact of Low-Carbon Policy on Stock Returns

Rania Hentati-Kaffel , Alessandro Ravina
SSRN Electronic Journal, 2020, ⟨10.2139/ssrn.3444168⟩
Journal articles hal-03045804v1

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⟩
Journal articles hal-03045837v1

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⟩
Journal articles hal-03045877v1

Structured products under generalized kappa ratio

Rania Hentati
Economic Modelling, 2016, 58, pp.599-614. ⟨10.1016/j.econmod.2016.03.009⟩
Journal articles 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⟩
Journal articles 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⟩
Journal articles 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⟩
Journal articles 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⟩
Journal articles 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⟩
Journal articles 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
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


Rania Hentati , Jean-Luc Prigent
International Conference on Applied Financial Economics, Jun 2011, samos, Greece. pp.565-572
Conference papers 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⟩
Book sections hal-00607102v1