11
H index
12
i10 index
455
Citations
Vrije Universiteit Brussel | 11 H index 12 i10 index 455 Citations RESEARCH PRODUCTION: 69 Articles 14 Papers RESEARCH ACTIVITY: 22 years (2001 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pva754 |
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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Papers / arXiv.org | 5 |
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles | 2 |
Post-Print / HAL | 2 |
Year | Title of citing document |
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2023 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper |
2023 | Convolution Bounds on Quantile Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Lam, Henry ; Blanchet, Jose. In: Papers. RePEc:arx:papers:2007.09320. Full description at Econpapers || Download paper |
2023 | Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968. Full description at Econpapers || Download paper |
2023 | 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 |
2024 | Joint mixability and negative orthant dependence. (2022). Wang, Ruodu ; Lin, Liyuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2204.11438. Full description at Econpapers || Download paper |
2023 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper |
2023 | A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming. (2023). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: Papers. RePEc:arx:papers:2303.08968. Full description at Econpapers || Download paper |
2023 | Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions. (2023). Yao, Jing ; Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2305.09097. Full description at Econpapers || Download paper |
2023 | Uncertainty Propagation and Dynamic Robust Risk Measures. (2023). Pesenti, Silvana ; Mailhot, M'Elina ; Moresco, Marlon. In: Papers. RePEc:arx:papers:2308.12856. Full description at Econpapers || Download paper |
2023 | Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705. Full description at Econpapers || Download paper |
2023 | Optimal Transport Divergences induced by Scoring Functions. (2023). Vanduffel, Steven ; Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2311.12183. Full description at Econpapers || Download paper |
2023 | The day?of?the?month effect and the performance of the dollar cost averaging strategy: Evidence from China. (2023). Yu, Bin ; Li, Hongze ; Jin, Xuejun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:797-815. Full description at Econpapers || Download paper |
2023 | Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380. Full description at Econpapers || Download paper |
2023 | A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk. (2023). Maroufy, Vahed ; Madadi, Mohsen ; Rezapour, Mohsen ; Afhami, Bahareh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:444:y:2023:i:c:s0096300322008761. Full description at Econpapers || Download paper |
2023 | Extended gradient of convex function and capital allocation. (2023). Grechuk, Bogdan. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:429-437. Full description at Econpapers || Download paper |
2023 | Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:868-886. Full description at Econpapers || Download paper |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper |
2023 | Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314. Full description at Econpapers || Download paper |
2023 | Nonparametric density estimation and risk quantification from tabulated sample moments. (2023). Lambert, Philippe. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:177-189. Full description at Econpapers || Download paper |
2023 | Multiple per-claim reinsurance based on maximizing the Lundberg exponent. (2023). Zhou, Ming ; Wei, LI ; Meng, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:33-47. Full description at Econpapers || Download paper |
2023 | Impact of systemic risk regulation on optimal policies and asset prices. (2023). Cui, Xuecan ; Bernard, Carole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002011. Full description at Econpapers || Download paper |
2023 | Worst-case analysis of Omega-VaR ratio optimization model. (2023). Mansini, Renata ; Sharma, Amita ; Sehgal, Ruchika. In: Omega. RePEc:eee:jomega:v:114:y:2023:i:c:s0305048322001372. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x. Full description at Econpapers || Download paper |
2023 | Simple approximative algorithms for free-support Wasserstein barycenters. (2023). von Lindheim, Johannes. In: Computational Optimization and Applications. RePEc:spr:coopap:v:85:y:2023:i:1:d:10.1007_s10589-023-00458-3. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | An optimal transport-based characterization of convex order. (2023). Erica, Zhang ; Johannes, Wiesel. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:15:n:1. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2014 | Measuring Portfolio Risk under Partial Dependence Information In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 8 |
2018 | Measuring Portfolio Risk Under Partial Dependence Information.(2018) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2018 | MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION.(2018) In: Journal of Risk & Insurance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2014 | Rationalizing Investors Choice In: Papers. [Full Text][Citation analysis] | paper | 8 |
2015 | Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2014 | Optimal Payoffs under State-dependent Preferences In: Papers. [Full Text][Citation analysis] | paper | 9 |
2015 | Optimal payoffs under state-dependent preferences.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2015 | Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2023 | Robust Distortion Risk Measures In: Papers. [Full Text][Citation analysis] | paper | 2 |
2023 | Cost-efficient Payoffs under Model Ambiguity In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Coskewness under dependence uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Coskewness under dependence uncertainty.(2023) In: Statistics & Probability Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | 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 | 23 |
2008 | Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 22 |
2012 | Optimal Capital Allocation Principles In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 99 |
2009 | Optimal capital allocation principles.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 99 | 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 | 14 |
2014 | Explicit Representation of Cost-Efficient Strategies In: Finance. [Full Text][Citation analysis] | article | 11 |
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 |
2019 | A new efficiency test for ranking investments: Application to hedge fund performance In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2023 | ETF Basket-Adjusted Covariance estimation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
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 | 13 |
2017 | A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
2019 | Optimal strategies under Omega ratio In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 8 |
2022 | Fair allocation of indivisible goods with minimum inequality or minimum envy In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
2023 | Optimal multivariate financial decision making In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
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 | 7 |
2008 | Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 33 |
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 | 10 |
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 | 3 |
2020 | Range Value-at-Risk bounds for unimodal distributions under partial information In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
2015 | A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 21 |
2020 | Optimal insurance in the presence of multiple policyholders In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 4 |
2020 | On the computation of Wasserstein barycenters In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 1 |
2019 | Equivalent distortion risk measures on moment spaces In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2020 | Correlation matrices with average constraints In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
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 | 4 |
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 |
2021 | Beta-Adjusted Covariance Estimation In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] | paper | 0 |
2018 | Rearrangement algorithm and maximum entropy In: Annals of Operations Research. [Full Text][Citation analysis] | article | 4 |
2018 | Block rearranging elements within matrix columns to minimize the variability of the row sums In: 4OR. [Full Text][Citation analysis] | article | 2 |
2020 | On the construction of optimal payoffs In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 5 |
2017 | Risk bounds for factor models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 13 |
2009 | A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
2017 | How robust is the value-at-risk of credit risk portfolios? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 11 |
2020 | The variance implied conditional correlation In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2019 | The variance implied conditional correlation.(2019) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2014 | Optimal portfolios under worst-case scenarios In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2014 | Optimal portfolios under worst-case scenarios.(2014) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2018 | Optimal portfolios under a correlation constraint In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2021 | When do two- or three-fund separation theorems hold? In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2022 | The optimal payoff for a Yaari investor In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
In: . [Full Text][Citation analysis] | article | 0 | |
In: . [Full Text][Citation analysis] | article | 0 | |
In: . [Full Text][Citation analysis] | article | 0 | |
2019 | Optimal portfolio choice with benchmarks In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 1 |
2010 | “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2011 | Improving the Design of Financial Products in a Multidimensional Black-Scholes Market In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 1 |
2013 | Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2017 | Impact of Flexible Periodic Premiums on Variable Annuity Guarantees In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 5 |
2005 | Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 4 |
2015 | Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling. [Full Text][Citation analysis] | article | 2 |
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 | 1 |
2017 | The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling. [Full Text][Citation analysis] | article | 1 |
2017 | My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling. [Full Text][Citation analysis] | article | 1 |
2019 | Closed?form approximations for spread options in Lévy markets In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 1 |
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 | 6 |
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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