| Optimal portfolio diversification via independent component analysis N Lassance, V DeMiguel, F Vrins Operations Research 70 (1), 55-72, 2022 | 57 | 2022 |
| Minimum rényi entropy portfolios N Lassance, F Vrins Annals of Operations Research 299 (1), 23-46, 2021 | 36 | 2021 |
| Portfolio selection with parsimonious higher comoments estimation N Lassance, F Vrins Journal of Banking & Finance 126 (9), 106-115, 2021 | 33* | 2021 |
| The risk of expected utility under parameter uncertainty N Lassance, A Martin-Utrera, M Simaan Management Science 70 (11), 7644-7663, 2024 | 22* | 2024 |
| 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 | 18 | 2024 |
| Portfolio selection: A target-distribution approach N Lassance, F Vrins European Journal of Operational Research 310 (1), 302-314, 2023 | 17* | 2023 |
| Reconciling mean-variance portfolio theory with non-Gaussian returns N Lassance European Journal of Operational Research 297 (2), 729-740, 2021 | 14 | 2021 |
| A dynamic shrinkage covariance matrix aligned with sentiment N Lassance, A Martin-Utrera Available at SSRN 3551224, 2024 | 12* | 2024 |
| A comparison of pricing and hedging performances of equity derivatives models N Lassance, F Vrins Applied Economics 50 (10), 1122-1137, 2018 | 11 | 2018 |
| Maximizing the out-of-sample Sharpe ratio N Lassance Available at SSRN 3959708, 2022 | 10 | 2022 |
| Optimal portfolio choice with fat tails and parameter uncertainty R Kan, N Lassance Journal of Financial and Quantitative Analysis, forthcoming, 2024 | 9 | 2024 |
| Information-theoretic approaches to portfolio selection N Lassance Louvain School of Management Doctoral Thesis, 2019 | 7 | 2019 |
| The economic value of mean squared error: Evidence from portfolio selection Z Cai, Z Cui, N Lassance, M Simaan Revise and resubmit at Operations Research, 2024 | 3 | 2024 |
| The distribution of sample mean-variance portfolio weights R Kan, N Lassance, X Wang Random Matrices: Theory and Applications 13 (1), 2024 | 3 | 2024 |
| Does the factor zoo pay off? A portfolio view on mispricing and the limited gains from new anomalies N Lassance, A Martin-Utrera Available at SSRN 4760599, 2025 | 2* | 2025 |
| An analytical shrinkage estimator for linear regression N Lassance Statistics & Probability Letters 194, 2023 | 2 | 2023 |
| Optimal portfolio size under parameter uncertainty N Lassance, R Vanderveken, F Vrins Revise and resubmit at Journal of Financial and Quantitative Analysis, 2024 | 1 | 2024 |
| A sequential approach to shrinkage estimation N Lassance Available at SSRN 5160119, 2025 | | 2025 |
| The distribution of out-of-sample returns of estimated optimal portfolios N Lassance, R Kan, X Wang Available at SSRN 4899487, 2024 | | 2024 |
Frédéric VrinsLFIN/LIDAM, UCLouvain確認したメール アドレス: uclouvain.be