10
H index
10
i10 index
378
Citations
Vrije Universiteit Brussel | 10 H index 10 i10 index 378 Citations RESEARCH PRODUCTION: 44 Articles 8 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Steven Vanduffel. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 2 |
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles | 2 |
Papers / arXiv.org | 2 |
Year | Title of citing document |
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2020 | Extension of Steins Lemmas to General Functions and Distributions*. (2020). Wong, Wing-Keung ; Alghalith, Moawia. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:77-88. Full description at Econpapers || Download paper |
2020 | Extension of Steins Lemmas to General Functions and Distributions*. (2020). Wong, Wing-Keung ; Alghalith, Moawia. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:4:p:77-88. Full description at Econpapers || Download paper |
2020 | Stop-loss protection for a large P2P insurance pool. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020028. Full description at Econpapers || Download paper |
2021 | Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477. Full description at Econpapers || Download paper |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829. Full description at Econpapers || Download paper |
2021 | Optimal portfolio with insider information on the stochastic interest rate. (2019). Jos'e Antonio Salmer'on, ; Mart, Dolores Garc'Ia ; D'Auria, Bernardo. In: Papers. RePEc:arx:papers:1711.03642. Full description at Econpapers || Download paper |
2020 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper |
2020 | Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1811.00304. Full description at Econpapers || Download paper |
2020 | Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941. Full description at Econpapers || Download paper |
2020 | Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794. Full description at Econpapers || Download paper |
2020 | Bellman type strategy for the continuous time mean-variance model. (2020). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2005.01904. Full description at Econpapers || Download paper |
2020 | Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950. Full description at Econpapers || Download paper |
2021 | Ordering and Inequalities for Mixtures on Risk Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2007.12338. Full description at Econpapers || Download paper |
2022 | Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach. (2020). Weber, Stefan ; Kim, Sojung. In: Papers. RePEc:arx:papers:2009.03653. Full description at Econpapers || Download paper |
2022 | Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889. Full description at Econpapers || Download paper |
2020 | Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis. (2020). Yang, Shuzhen . In: Papers. RePEc:arx:papers:2011.10966. Full description at Econpapers || Download paper |
2020 | Optimal Payoff under the Generalized Dual Theory of Choice. (2020). He, Xue Dong ; Jiang, Zhaoli. In: Papers. RePEc:arx:papers:2012.00345. Full description at Econpapers || Download paper |
2021 | Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500. Full description at Econpapers || Download paper |
2021 | A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies. (2020). Xu, Zuoquan ; Jin, Zhuo ; Zou, Bin. In: Papers. RePEc:arx:papers:2012.06703. Full description at Econpapers || Download paper |
2021 | Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Furman, Edward ; Su, Jianxi ; Mohammed, Nawaf. In: Papers. RePEc:arx:papers:2102.05003. Full description at Econpapers || Download paper |
2021 | Optimal management of DC pension fund under relative performance ratio and VaR constraint. (2021). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2103.04352. Full description at Econpapers || Download paper |
2021 | Ordered Risk Aggregation under Dependence Uncertainty. (2021). Chen, Yuyu ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2104.07718. Full description at Econpapers || Download paper |
2021 | Law-invariant functionals that collapse to the mean: Beyond convexity. (2021). Munari, Cosimo ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:2106.01281. Full description at Econpapers || Download paper |
2021 | Distributionally robust goal-reaching optimization in the presence of background risk. (2021). Chi, Yichun ; Zhuang, Sheng Chao ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2108.04464. Full description at Econpapers || Download paper |
2021 | Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946. Full description at Econpapers || Download paper |
2021 | Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2021). Woo, Jae-Kyung ; Peralta, Oscar. In: Papers. RePEc:arx:papers:2201.11122. Full description at Econpapers || Download paper |
2022 | Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2022). Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2204.01071. Full description at Econpapers || Download paper |
2020 | Robust risk aggregation with neural networks. (2020). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1229-1272. Full description at Econpapers || Download paper |
2021 | Model risk in credit risk. (2021). luciano, elisa ; Semeraro, Patrizia ; Fontana, Roberto. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:176-202. Full description at Econpapers || Download paper |
2022 | Ordering and inequalities for mixtures on risk aggregation. (2022). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:421-451. Full description at Econpapers || Download paper |
2021 | Capital allocation, the leverage ratio requirement. (2021). Vo, Quynh-Anh ; Neamtu, Ioana. In: Bank of England working papers. RePEc:boe:boeewp:0956. Full description at Econpapers || Download paper |
2021 | Risk aversion and Bitcoin returns in extreme quantiles. (2021). GUPTA, RANGAN ; Roubaud, David ; Marco, Chi Keung ; Bouri, Elie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00863. Full description at Econpapers || Download paper |
2021 | Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables. (2021). Durante, Fabrizio ; Di Lascio, F. Marta L. ; Marta, F ; Fuchs, Sebastian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000359. Full description at Econpapers || Download paper |
2020 | An evolutionary approach to fraud management. (2020). Rabitti, Giovanni ; Galeotti, Marcello ; Vannucci, Emanuele. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:1167-1177. Full description at Econpapers || Download paper |
2020 | An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186. Full description at Econpapers || Download paper |
2022 | Simulation methods for robust risk assessment and the distorted mix approach. (2022). Weber, Stefan ; Kim, Sojung. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:380-398. Full description at Econpapers || Download paper |
2021 | Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (2021). Wang, Ying ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:329-349. Full description at Econpapers || Download paper |
2021 | Concave/convex weighting and utility functions for risk: A new light on classical theorems. (2021). Yang, Jingni ; Wakker, Peter P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:429-435. Full description at Econpapers || Download paper |
2021 | Optimal annuity demand for general expected utility agents. (2021). Levante, Lucia ; de Gennaro, Luca ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:70-79. Full description at Econpapers || Download paper |
2021 | Haezendonck-Goovaerts capital allocation rules. (2021). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Centrone, Francesca ; Canna, Gabriele. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:173-185. Full description at Econpapers || Download paper |
2021 | Pandemic risk management: Resources contingency planning and allocation. (2021). Zhang, Linfeng ; Feng, Runhuan ; Chong, Wing Fung ; Chen, Xiaowei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:359-383. Full description at Econpapers || Download paper |
2021 | Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (2021). Su, Jianxi ; Furman, Edward ; Mohammed, Nawaf. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:425-436. Full description at Econpapers || Download paper |
2021 | A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (2021). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:437-465. Full description at Econpapers || Download paper |
2022 | Asymptotic results on marginal expected shortfalls for dependent risks. (2022). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:146-168. Full description at Econpapers || Download paper |
2022 | Risk aggregation under dependence uncertainty and an order constraint. (2022). Wang, Ruodu ; Lin, Liyuan ; Chen, Yuyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:169-187. Full description at Econpapers || Download paper |
2022 | Risk aggregation and capital allocation using a new generalized Archimedean copula. (2022). Moutanabbir, Khouzeima ; Marri, Fouad. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:75-90. Full description at Econpapers || Download paper |
2020 | On log-normal convolutions: An analytical–numerical method with applications to economic capital determination. (2020). Kuznetsov, Alexey ; Hackmann, Daniel ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:120-134. Full description at Econpapers || Download paper |
2020 | Validation of association. (2020). Ledwina, Teresa ; Miel, Bogdan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:55-67. Full description at Econpapers || Download paper |
2020 | On the increasing convex order of generalized aggregation of dependent random variables. (2020). Cheung, Ka Chun ; Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:61-69. Full description at Econpapers || Download paper |
2020 | Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186. Full description at Econpapers || Download paper |
2020 | On a family of coherent measures of variability. (2020). Chen, Ouxiang ; Hu, Taizhong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:173-182. Full description at Econpapers || Download paper |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2020). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211. Full description at Econpapers || Download paper |
2021 | Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. (2021). Su, Jianxi ; Kye, Yisub ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:153-167. Full description at Econpapers || Download paper |
2021 | Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247. Full description at Econpapers || Download paper |
2021 | Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43. Full description at Econpapers || Download paper |
2020 | Modelling extremal dependence for operational risk by a bipartite graph. (2020). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301217. Full description at Econpapers || Download paper |
2020 | Optimal insurance design under narrow framing. (2020). Zheng, Jiakun. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:180:y:2020:i:c:p:596-607. Full description at Econpapers || Download paper |
2021 | Ordering results for elliptical distributions with applications to risk bounds. (2021). Ruschendorf, Ludger ; Ansari, Jonathan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:182:y:2021:i:c:s0047259x20302906. Full description at Econpapers || Download paper |
2020 | Correlation matrices with average constraints. (2020). Yao, Jing ; Vanduffel, Steven ; Tuitman, Jan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:165:y:2020:i:c:s0167715220301711. Full description at Econpapers || Download paper |
2020 | The Bayesian Approach to Capital Allocation at Operational Risk: A Combination of Statistical Data and Expert Opinion. (2020). Benbachir, Saad ; Habachi, Mohamed. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:9-:d:320948. Full description at Econpapers || Download paper |
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2020 | Portfolio Optimization under Correlation Constraint. (2020). Pirvu, Traian A ; Maheshwari, Aditya. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:15-:d:317375. Full description at Econpapers || Download paper |
2020 | Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2020). Hofert, Marius ; Koike, Takaaki. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:6-:d:308941. Full description at Econpapers || Download paper |
2020 | Omega and Sharpe ratio. (2020). Guez, Beatrice ; Benhamou, Eric ; Paris, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-02886481. Full description at Econpapers || Download paper |
2020 | Characterization, Robustness, and Aggregation of Signed Choquet Integrals. (2020). Willmot, Gordon E ; Wei, Yunran ; Wang, Ruodu. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:993-1015. Full description at Econpapers || Download paper |
2021 | Minimum Rényi entropy portfolios. (2021). Vrins, Frederic ; Lassance, Nathan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03364-2. Full description at Econpapers || Download paper |
2021 | Capital allocation and RORAC optimization under solvency 2 standard formula. (2021). Granito, Ivan ; Angelis, Paolo ; Baione, Fabio. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03543-6. Full description at Econpapers || Download paper |
2020 | A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2020). Fantazzini, Dean ; Zimin, Stephan. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8. Full description at Econpapers || Download paper |
2021 | Sklar’s theorem, copula products, and ordering results in factor models. (2021). Ludger, Ruschendorf ; Jonathan, Ansari. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:267-306:n:3. Full description at Econpapers || Download paper |
2020 | MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING. (2020). Schmidt, Wolfgang M ; Jokhadze, Valeriane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500120. Full description at Econpapers || Download paper |
2021 | Asset concentration risk and insurance solvency regulation. (2021). Grundl, Helmut ; Regele, Fabian. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4021. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2014 | Rationalizing Investors Choice In: Papers. [Full Text][Citation analysis] | paper | 5 |
2015 | Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2014 | Optimal Payoffs under State-dependent Preferences In: Papers. [Full Text][Citation analysis] | paper | 10 |
2015 | Optimal payoffs under state-dependent preferences.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2015 | Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2009 | Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2005 | Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 22 |
2008 | Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 23 |
2012 | Optimal Capital Allocation Principles In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 91 |
2009 | Optimal capital allocation principles.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 91 | paper | |
2014 | Financial Bounds for Insurance Claims In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 3 |
2017 | Value-at-Risk Bounds With Variance Constraints In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 11 |
2014 | Explicit Representation of Cost-Efficient Strategies In: Finance. [Full Text][Citation analysis] | article | 9 |
2014 | USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
2005 | On the evaluation of ‘saving-consumption’ plans In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2012 | A provisioning problem with stochastic payments In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
2014 | Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 10 |
2017 | A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
2019 | Optimal strategies under Omega ratio In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
2003 | The hurdle-race problem In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2008 | On the parameterization of the CreditRisk + model for estimating credit portfolio risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
2008 | Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 29 |
2008 | Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
2009 | Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
2009 | Correlation order, merging and diversification In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
2018 | Upper bounds for strictly concave distortion risk measures on moment spaces In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2020 | Range Value-at-Risk bounds for unimodal distributions under partial information In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
2015 | A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 19 |
2020 | Optimal insurance in the presence of multiple policyholders In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 1 |
2011 | Bounds for some general sums of random variables In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2015 | Some Stein-type inequalities for multivariate elliptical distributions and applications In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 3 |
2001 | How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2005 | Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2007 | Comonotonicity In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 50 |
2015 | Dependence Uncertainty Bounds for the Expectile of a Portfolio In: Risks. [Full Text][Citation analysis] | article | 3 |
2013 | Optimal payoffs under state-dependent constraints In: Post-Print. [Citation analysis] | paper | 1 |
2021 | A model-free approach to multivariate option pricing In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
2010 | Thou shalt buy ‘simple’ structured products only In: Journal of Financial Transformation. [Citation analysis] | article | 1 |
2018 | Rearrangement algorithm and maximum entropy In: Annals of Operations Research. [Full Text][Citation analysis] | article | 1 |
2020 | On the construction of optimal payoffs In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 3 |
2017 | Risk bounds for factor models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 14 |
2009 | A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
2014 | Optimal portfolios under worst-case scenarios In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
2014 | Optimal portfolios under worst-case scenarios.(2014) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2018 | Optimal portfolios under a correlation constraint In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
2019 | Optimal portfolio choice with benchmarks In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 0 |
2019 | The variance implied conditional correlation In: ULB Institutional Repository. [Citation analysis] | paper | 0 |
2015 | Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling. [Full Text][Citation analysis] | article | 1 |
2016 | Stat Trek In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2016 | Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling. [Full Text][Citation analysis] | article | 2 |
2012 | AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
2018 | OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
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