Steven Vanduffel : Citation Profile


Are you Steven Vanduffel?

Vrije Universiteit Brussel

9

H index

9

i10 index

300

Citations

RESEARCH PRODUCTION:

33

Articles

7

Papers

RESEARCH ACTIVITY:

   16 years (2001 - 2017). See details.
   Cites by year: 18
   Journals where Steven Vanduffel has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 15 (4.76 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva754
   Updated: 2020-11-21    RAS profile: 2017-09-24    
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Relations with other researchers


Works with:

Durante, Fabrizio (2)

Puccetti, Giovanni (2)

Moraux, Franck (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Steven Vanduffel.

Is cited by:

Dhaene, Jan (14)

Guillen, Montserrat (11)

Rulliere, Didier (6)

De Waegenaere, Anja (6)

Laeven, Roger (5)

Goovaerts, Marc (5)

Norde, Henk (5)

Ferretti, Paola (4)

Fajardo, José (4)

Prieto, Faustino (3)

Bayraktar, Erhan (3)

Cites to:

Dhaene, Jan (46)

Goovaerts, Marc (34)

Puccetti, Giovanni (14)

Dybvig, Phillip (8)

Dybvig, Philip (8)

Markowitz, Harry (6)

Kahneman, Daniel (5)

Valdez, Emiliano (5)

Sharpe, William (5)

welch, ivo (4)

Gordy, Michael (4)

Main data


Where Steven Vanduffel has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics6
Journal of Risk & Insurance4
European Journal of Operational Research3
Review of Business and Economic Literature3
Dependence Modeling3
Quantitative Finance2
Statistics & Probability Letters2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org2
Post-Print / HAL2

Recent works citing Steven Vanduffel (2020 and 2019)


YearTitle of citing document
2019Minimum Rényi entropy portfolios. (2019). Vrins, Frederic ; Lassance, Nathan. In: LFIN Discussion Papers (LFIN - Louvain Finance). RePEc:ajf:louvlf:2019003.

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2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2019Optimal 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.

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2020Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1811.00304.

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2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph. (2019). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Papers. RePEc:arx:papers:1902.03041.

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2020Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2019Portfolio Optimization under Correlation Constraint. (2019). Pirvu, Traian ; Maheshwari, Aditya. In: Papers. RePEc:arx:papers:1912.12521.

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2020Bellman type strategy for the continuous time mean-variance model. (2020). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2005.01904.

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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2020Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach. (2020). Weber, Stefan ; Kim, Sojung. In: Papers. RePEc:arx:papers:2009.03653.

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2019A new efficiency test for ranking investments: Application to hedge fund performance. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:203-207.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2019On the optimality of path-dependent structured funds: The cost of standardization. (2019). Prigent, Jean-Luc ; BERTRAND, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:1:p:333-350.

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2020An 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.

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2020An 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.

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2019How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures. (2019). Wu, Xin ; Huang, Wenli ; Wang, Qiyu ; Zhang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:239-244.

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2019Forecasting compositional risk allocations. (2019). Boonen, Tim J ; Santolino, Miguel ; Guillen, Montserrat. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:79-86.

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2019Dynamic capital allocation with irreversible investments. (2019). Zanjani, George ; Ping, Xiaohu ; Kamiya, Shinichi ; Bauer, Daniel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:138-152.

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2019Analysis of risk bounds in partially specified additive factor models. (2019). Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:115-121.

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2019Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions. (2019). Kim, So-Yeun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:145-157.

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2019Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2019). Papapantoleon, Antonis ; Lux, Thibaut. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:73-83.

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2019Conditional tail risk measures for the skewed generalised hyperbolic family. (2019). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:98-114.

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2020On 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.

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2020Validation of association. (2020). Ledwina, Teresa ; Miel, Bogdan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:55-67.

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2020On 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.

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2020Multivariate 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.

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2019A new approach to optimal capital allocation for RORAC maximization in banks. (2019). Poshakwale, Sunil ; Kang, Woo-Young. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:153-165.

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2019Volatility tail risk under fractionality. (2019). Santucci de Magistris, Paolo ; Morelli, Giacomo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298.

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2020Modelling 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.

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2019Equivalent distortion risk measures on moment spaces. (2019). Vanduffel, Steven ; Cornilly, Dries. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:187-192.

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2020Correlation 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.

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2020Portfolio 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.

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2020Characterization, 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.

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2019Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:ris:crcrmw:2019_002.

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2020On the construction of optimal payoffs. (2020). Vanduffel, Steven ; Ruschendorf, L. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00272-9.

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2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph. (2019). Paterlini, Sandra ; KLPPELBERG, CLAUDIA ; Kley, Oliver. In: DEM Working Papers. RePEc:trn:utwprg:2019/02.

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2020MEASURING 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.

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Works by Steven Vanduffel:


YearTitleTypeCited
2014Rationalizing Investors Choice In: Papers.
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paper4
2015Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics.
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This paper has another version. Agregated cites: 4
article
2014Optimal Payoffs under State-dependent Preferences In: Papers.
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paper10
2015Optimal payoffs under state-dependent preferences.(2015) In: Post-Print.
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This paper has another version. Agregated cites: 10
paper
2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
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This paper has another version. Agregated cites: 10
article
2009Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics.
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paper1
2005Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance.
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article23
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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article21
2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
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article68
2009Optimal capital allocation principles.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 68
paper
2014Financial Bounds for Insurance Claims In: Journal of Risk & Insurance.
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article2
2014Explicit Representation of Cost-Efficient Strategies In: Finance.
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article10
2014USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS In: ASTIN Bulletin.
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article2
2005On the evaluation of plans In: Journal of Pension Economics and Finance.
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article2
2012A provisioning problem with stochastic payments In: European Journal of Operational Research.
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article3
2014Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection In: European Journal of Operational Research.
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article11
2017A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research.
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article2
2003The hurdle-race problem In: Insurance: Mathematics and Economics.
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article4
2008On the parameterization of the CreditRisk + model for estimating credit portfolio risk In: Insurance: Mathematics and Economics.
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article8
2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
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article25
2008Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics.
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article8
2009Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics.
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article9
2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
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article7
2015A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance.
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article18
2011Bounds for some general sums of random variables In: Statistics & Probability Letters.
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article1
2015Some Stein-type inequalities for multivariate elliptical distributions and applications In: Statistics & Probability Letters.
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article1
2001How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature.
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article0
2005Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature.
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article0
2007Comonotonicity In: Review of Business and Economic Literature.
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article34
2015Dependence Uncertainty Bounds for the Expectile of a Portfolio In: Risks.
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article4
2013Optimal payoffs under state-dependent constraints In: Post-Print.
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paper1
2010Thou shalt buy ‘simple’ structured products only In: Journal of Financial Transformation.
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article1
2017Risk bounds for factor models In: Finance and Stochastics.
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article9
2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance.
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article4
2014Optimal portfolios under worst-case scenarios In: Quantitative Finance.
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article1
2014Optimal portfolios under worst-case scenarios.(2014) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 1
paper
2015Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling.
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article1
2016Stat Trek In: Dependence Modeling.
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article0
2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
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article0
2012AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF).
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article5

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