Παρακολούθηση
Nathan Lassance
Nathan Lassance
LFIN/LIDAM, UCLouvain
Η διεύθυνση ηλεκτρονικού ταχυδρομείου έχει επαληθευτεί στον τομέα uclouvain.be - Αρχική σελίδα
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Παρατίθεται από
Παρατίθεται από
Έτος
Optimal portfolio diversification via independent component analysis
N Lassance, V DeMiguel, F Vrins
Operations Research 70 (1), 55-72, 2022
502022
Minimum rényi entropy portfolios
N Lassance, F Vrins
Annals of Operations Research 299 (1), 23-46, 2021
332021
Portfolio selection with parsimonious higher comoments estimation
N Lassance, F Vrins
Journal of Banking & Finance 126 (9), 106-115, 2021
29*2021
The risk of expected utility under parameter uncertainty
N Lassance, A Martin-Utrera, M Simaan
Management Science, forthcoming, 2023
16*2023
Portfolio selection: A target-distribution approach
N Lassance, F Vrins
European Journal of Operational Research 310 (1), 302-314, 2023
15*2023
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
142024
A comparison of pricing and hedging performances of equity derivatives models
N Lassance, F Vrins
Applied Economics 50 (10), 1122-1137, 2018
122018
Maximizing the out-of-sample Sharpe ratio
N Lassance
Available at SSRN 3959708, 2022
92022
Reconciling mean-variance portfolio theory with non-Gaussian returns
N Lassance
European Journal of Operational Research 297 (2), 729-740, 2021
92021
Sentiment-Based Portfolios
N Lassance, A Martın-Utrera
8*2023
Information-theoretic approaches to portfolio selection
N Lassance
Louvain School of Management Doctoral Thesis, 2019
72019
Optimal portfolio choice with fat tails and parameter uncertainty
R Kan, N Lassance
Revise and resubmit at Journal of Financial and Quantitative Analysis, 2024
62024
The distribution of sample mean-variance portfolio weights
R Kan, N Lassance, X Wang
Random Matrices: Theory and Applications 13 (1), 2024
32024
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
2024
The distribution of out-of-sample returns of estimated optimal portfolios
N Lassance, R Kan, X Wang
Available at SSRN 4899487, 2024
2024
Optimal portfolio size under parameter uncertainty
N Lassance, R Vanderveken, F Vrins
Available at SSRN 4886000, 2024
2024
Do limits to arbitrage explain portfolio gains from asset mispricing?
N Lassance, A Martin-Utrera
Available at SSRN 4760599, 2024
2024
An analytical shrinkage estimator for linear regression
N Lassance
Statistics & Probability Letters 194, 2023
2023
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