P. Artzner, F. Delbaen, J. Eber, and D. Heath, Coherent Measures of Risk, Mathematical Finance, vol.9, issue.3, pp.203-228, 1999.
DOI : 10.1111/1467-9965.00068

S. Avouyi-dovi, A. Morin, and D. Neto, Optimal asset allocation with omega function, 2004.

M. Bartholomew-biggs and S. J. Kane, Optimizing Omega, Journal of Global Optimization, vol.45, pp.153-167, 2009.

P. Bertrand, J. Lesne, and J. Prigent, Gestion de portefeuille avec garantie: l'allocation optimale en actifs dérivés, Finance, pp.7-35, 2001.

P. Bertrand and J. Prigent, Omega performance measure and portfolio insurance, Journal of Banking & Finance, vol.35, issue.7, 2008.
DOI : 10.1016/j.jbankfin.2010.12.001
URL : https://hal.archives-ouvertes.fr/hal-01445954

F. Black and R. Jones, Simplifying portfolio insurance, The Journal of Portfolio Management, vol.14, issue.1, pp.48-51, 1987.
DOI : 10.3905/jpm.1987.409131

F. Black, R. , and R. , Constant proportion portfolio insurance and the synthetic put option: a comparison, Institutional Investor focus on Investment Management, pp.695-708, 1989.

F. Black and A. R. Perold, Theory of constant proportion portfolio insurance, Journal of Economic Dynamics and Control, vol.16, issue.3-4, pp.403-426, 1992.
DOI : 10.1016/0165-1889(92)90043-E

R. Bookstaber and J. A. Langsam, Portfolio insurance trading rules, Journal of Futures Markets, vol.90, issue.1, pp.15-31, 2000.
DOI : 10.1002/fut.3990080103

M. J. Brennan and R. Solanki, Optimal Portfolio Insurance, The Journal of Financial and Quantitative Analysis, vol.16, issue.3, pp.279-300, 1981.
DOI : 10.2307/2330239

D. Breeden and R. Litzenberger, Prices of State-Contingent Claims Implicit in Option Prices, The Journal of Business, vol.51, issue.4, pp.621-651, 1978.
DOI : 10.1086/296025

P. Carr and D. Madan, Optimal positioning in derivative securities, Quantitative Finance, vol.1, issue.1, pp.19-37, 2001.
DOI : 10.1080/713665549

A. Cascon, C. Keating, and W. F. Shadwick, The Omega function, 2003.

C. F. Camerer, An experimental test of several generalized utility theories, Journal of Risk and Uncertainty, vol.55, issue.1, pp.61-104, 1989.
DOI : 10.1007/BF00055711

P. Carr and D. Madan, Optimal positioning in derivative securities, Quantitative Finance, vol.1, issue.1, pp.19-37, 2001.
DOI : 10.1080/713665549

A. H. Chen and J. W. Kensinger, An analysis of market-index certificates of deposit, Journal of Financial Services Research, vol.10, issue.2, pp.93-110, 1990.
DOI : 10.1007/BF00352565

K. C. Chen and R. S. Sears, Pricing the SPIN, Financial Management, vol.19, issue.2, pp.36-47, 1990.
DOI : 10.2307/3665633

S. Chew and K. R. Maccrimmon, Alpha-nu choice theory: a generalization of expected utility theory, Working Paper No, 1979.

S. Das, Structured Products and Hybrid Securities, 2000.

E. De-giorgi, T. Hensz, and J. Mayerx, A behavioral foundation of reward-risk portfolio selection and the asset allocation puzzle. Working paper, 2008.

J. Driessen and P. Maenhout, An Empirical Portfolio Perspective on Option Pricing Anomalies, Review of Finance, vol.11, issue.4, 2004.
DOI : 10.1093/rof/rfm024
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.512.2519

P. H. Dybvig and J. E. Ingersoll, Mean-Variance Theory in Complete Markets, The Journal of Business, vol.55, issue.2, pp.233-251, 1982.
DOI : 10.1086/296162

E. Karoui, N. Jeanblanc, M. Lacoste, and V. , Optimal portfolio management with American capital guarantee, Journal of Economic Dynamics and Control, vol.29, issue.3, pp.449-468, 2005.
DOI : 10.1016/j.jedc.2003.11.005

M. Henriksson, On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills, The Journal of Business, vol.54, issue.4, pp.513-533, 1981.
DOI : 10.1086/296144

T. Hens and M. O. Riger, The dark side of the moon: structured products from the customer's perspective. Working paper 459, 2008.

R. Hentati, . Ka¤el, and J. Prigent, Dynamic versus static optimization of hedge fund portfolios: the relevance of performance measures, International Journal of Business, vol.15, issue.1, 2010.
URL : https://hal.archives-ouvertes.fr/hal-00608962

R. Hentati and J. Prigent, On the maximization of ?nancial performance measures within mixture models, 2010.

H. Hong and J. Stein, A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets, The Journal of Finance, vol.51, issue.6, pp.2143-2184, 1999.
DOI : 10.1111/0022-1082.00184

H. Jin and X. Y. Zhou, BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME, Mathematical Finance, vol.42, issue.3, pp.385-426, 2008.
DOI : 10.1111/j.1467-9965.2008.00339.x

D. Kahneman and A. Tversky, Prospect Theory: An Analysis of Decision under Risk, Econometrica, vol.47, issue.2, pp.263-291, 1979.
DOI : 10.2307/1914185

P. Kaplan and J. A. Knowles, Kappa: a generalized downside riskadlusted performa,ce measure, journal of Performance Measurement, pp.42-54, 2004.

I. Karatzas, J. Lehoczky, S. P. Sethi, and S. E. Shreve, Explicit Solution of a General Consumption/Investment Problem, Mathematics of Operations Research, vol.11, issue.2, pp.261-294, 1986.
DOI : 10.1287/moor.11.2.261

C. Keating and W. F. Shadwick, A universal performance measure, Journal of Performance Measurement, vol.6, pp.59-84, 2002.

J. La¤ont, The Economics of Uncertainty and Information, 1993.

H. Leland, Who Should Buy Portfolio Insurance?, The Journal of Finance, vol.36, issue.2, pp.581-594, 1980.
DOI : 10.1111/j.1540-6261.1980.tb02190.x

H. E. Leland and M. Rubinstein, The evolution of portfolio insurance Portfolio insurance: a guide to dynamic hedging, 1976.

R. D. Luce, Individual Choice Behavior, 1959.

M. Machina, Choice under uncertainty: problems solved and unsolved, Journal of Economic Perspectives, vol.1, pp.281-96, 1982.
DOI : 10.1257/jep.1.1.121
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.555.689

M. Machina, "Expected Utility" Analysis without the Independence Axiom, Econometrica, vol.50, issue.2, pp.277-323, 1982.
DOI : 10.2307/1912631

A. Passow, Omega Portfolio construction with Johnson distributions, Risk, pp.85-90, 2005.

C. S. Pedersen and S. E. Satchell, An Extended Family of Financial-Risk Measures, The Geneva Papers on Risk and Insurance Theory, vol.23, issue.2, pp.89-117, 1998.
DOI : 10.1023/A:1008665926432

. P. Perez, An approach to the non-normal behavior of hedge fund Indices using Johnson Distributions, Working paper Instituto Tecnologico Autonomo Mexico (ITAM), 2004.

M. P?¤elmann, Which optimal design for LLDA? Working paper, 2008.

M. P?¤elmann, Why expected utility theory cannot explain LLDA?, The ICFA Journal of Behavioral Finance, 2008.

M. P?¤elmann, R. , and P. , Les comptes d'épargne associés à des loteries: approche comportementale et études de cas, Banque et Marchés, vol.78, pp.16-23, 2005.

J. Prigent, Generalized option based portfolio insurance, 2006.

J. Prigent, Portfolio Optimization and Performance Analysis, Boca Raton, vol.20074723, 2007.
DOI : 10.1201/9781420010930

J. Prigent, Portfolio optimization and rank dependent expected utility, 2008.

J. Quiggin, A theory of anticipated utility, Journal of Economic Behavior & Organization, vol.3, issue.4, pp.641-645, 1982.
DOI : 10.1016/0167-2681(82)90008-7

P. Roger, Capital protected notes for loss averse investors: how should they be advertised ? Working paper, 2008.

U. Segal, Anticipated utility: A measure representation approach, Annals of Operations Research, vol.55, issue.Supplement, pp.359-373, 1989.
DOI : 10.1007/BF02283529

P. A. Stoimenov and S. Wilkens, Are structured products ???fairly??? priced? An analysis of the German market for equity-linked instruments, Journal of Banking & Finance, vol.29, issue.12, pp.2971-2993, 2005.
DOI : 10.1016/j.jbankfin.2004.11.001

G. Szegö, Measures of risk, Journal of Banking & Finance, vol.26, issue.7, pp.1253-1272, 2002.
DOI : 10.1016/S0378-4266(02)00262-5

A. Tversky and D. Andt-kahneman, Rational Choice and the Framing of Decisions, The Journal of Business, vol.59, issue.S4, pp.251-278, 1986.
DOI : 10.1086/296365

A. Tversky and D. Kahneman, Advances in prospect theory: Cumulative representation of uncertainty, Journal of Risk and Uncertainty, vol.55, issue.1, pp.297-323, 1992.
DOI : 10.1007/BF00122574

P. Wakker and D. Dene¤e, Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown, Management Science, vol.42, issue.8, pp.1131-1150, 1996.
DOI : 10.1287/mnsc.42.8.1131

W. Wasserfallen and C. Schenk, Portfolio Insurance for the Small Investor in Switzerland, The Journal of Derivatives, vol.3, issue.3, pp.37-43, 1996.
DOI : 10.3905/jod.1996.407947