オープン アクセスを義務付けられた論文 - Nathan Lassance詳細
一般公開: 13 件
Optimal portfolio diversification via independent component analysis
N Lassance, V DeMiguel, F Vrins
Operations Research 70 (1), 55-72, 2022
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Minimum rényi entropy portfolios
N Lassance, F Vrins
Annals of Operations Research 299 (1), 23-46, 2021
委任: National Fund for Scientific Research, Belgium
Portfolio selection with parsimonious higher comoments estimation
N Lassance, F Vrins
Journal of Banking & Finance 126 (9), 106-115, 2021
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
The risk of expected utility under parameter uncertainty
N Lassance, A Martin-Utrera, M Simaan
Management Science 70 (11), 7644-7663, 2024
委任: National Fund for Scientific Research, Belgium
On the combination of naive and mean-variance portfolio strategies
N Lassance, R Vanderveken, F Vrins
Journal of Business & Economic Statistics 42 (3), 875-889, 2024
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Portfolio selection: A target-distribution approach
N Lassance, F Vrins
European Journal of Operational Research 310 (1), 302-314, 2023
委任: National Fund for Scientific Research, Belgium, Belgian Science Policy Office
Reconciling mean-variance portfolio theory with non-Gaussian returns
N Lassance
European Journal of Operational Research 297 (2), 729-740, 2021
委任: National Fund for Scientific Research, Belgium
A dynamic shrinkage covariance matrix aligned with sentiment
N Lassance, A Martin-Utrera
Available at SSRN 3551224, 2024
委任: National Fund for Scientific Research, Belgium
A comparison of pricing and hedging performances of equity derivatives models
N Lassance, F Vrins
Applied Economics 50 (10), 1122-1137, 2018
委任: National Fund for Scientific Research, Belgium
Maximizing the out-of-sample Sharpe ratio
N Lassance
Available at SSRN 3959708, 2022
委任: National Fund for Scientific Research, Belgium
The distribution of sample mean-variance portfolio weights
R Kan, N Lassance, X Wang
Random Matrices: Theory and Applications 13 (1), 2024
委任: National Fund for Scientific Research, Belgium
An analytical shrinkage estimator for linear regression
N Lassance
Statistics & Probability Letters 194, 2023
委任: National Fund for Scientific Research, Belgium
The distribution of out-of-sample returns of estimated optimal portfolios
N Lassance, R Kan, X Wang
Available at SSRN 4899487, 2024
委任: National Fund for Scientific Research, Belgium
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