1. 2020
  2. On the computation of Wasserstein barycenters

    Puccetti, G., Rüschendorf, L. & Vanduffel, S., 1 Mar 2020, In : Journal of Multivariate Analysis. 176, 16 p., 104581.

    Research output: Contribution to journalArticle

  3. The variance implied conditional correlation

    Algaba, A., Boudt, K. & Vanduffel, S., 11 Feb 2020, In : The European Journal of Finance. 26, 2-3, p. 200-222 23 p.

    Research output: Contribution to journalArticle

  4. The minimum regularized covariance determinant estimator

    Boudt, K., Rousseeuw, P. J., Vanduffel, S. & Verdonck, T., Feb 2020, In : Statistics and Computing. 30, 1, p. 113-128 16 p.

    Research output: Contribution to journalArticle

  5. 2019
  6. A new efficiency test for ranking investments: Application to hedge fund performance

    Bernard, C., Ye, J. & Vanduffel, S., Aug 2019, In : Economics Letters. 181, 1, p. 203-207 5 p.

    Research output: Contribution to journalArticle

  7. Optimal portfolio choice with benchmarks

    Bernard, C., De Staelen, R. H. & Vanduffel, S., 29 Jul 2019, In : Journal of the Operational Research Society. 70, 10, p. 1600-1621 22 p.

    Research output: Contribution to journalArticle

  8. Optimal strategies under Omega ratio

    Bernard, C., Vanduffel, S. & Ye, J., 1 Jun 2019, In : European Journal of Operational Research. 275, 2, p. 755-767 13 p., 275.

    Research output: Contribution to journalArticle

  9. Closed-form approximations for spread options in Levy markets

    Van Belle, J., Vanduffel, S. & Yao, J., May 2019, In : Applied Stochastic Models in Business and Industry. 35, 3, p. 732-746 15 p.

    Research output: Contribution to journalArticle

  10. Equivalent distortion risk measures on moment spaces

    Cornilly, D. & Vanduffel, S., 1 Mar 2019, In : Statistics and Probability Letters. 146, p. 187-192 6 p.

    Research output: Contribution to journalArticle

  11. 2018
  12. Upper bounds for strictly concave distortion risk measures on moment spaces

    Cornilly, D., Rüschendorf, L. & Vanduffel, S., 1 Sep 2018, In : Insurance: Mathematics and Economics. 82, p. 141-151 11 p.

    Research output: Contribution to journalArticle

  13. Measuring Portfolio Risk Under Partial Dependence Information

    Bernard, C., Denuit, M. & Vanduffel, S., Sep 2018, In : Journal of Risk and Insurance. 85, 3, p. 843-863 21 p.

    Research output: Contribution to journalArticle

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