EconPapers    
Economics at your fingertips  
 

Details about Steven Vanduffel

E-mail:
Homepage:https://stevenvanduffel.com
Workplace:Faculteit van de Economische, Sociale en Politieke Wetenschappen en Solvay Management School (Faculty of Economic, Social and Political Sciences and Solvay Management School), Vrije Universiteit Brussel (Brussels Free University), (more information at EDIRC)

Access statistics for papers by Steven Vanduffel.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pva754


Jump to Journal Articles Books

Working Papers

2024

  1. Modeling coskewness with zero correlation and correlation with zero coskewness
    Papers, arXiv.org Downloads
  2. Optimal Transport Divergences induced by Scoring Functions
    Papers, arXiv.org Downloads View citations (1)
  3. Optimal payoff under Bregman-Wasserstein divergence constraints
    Papers, arXiv.org Downloads

2023

  1. Coskewness under dependence uncertainty
    Papers, arXiv.org Downloads
    See also Journal Article Coskewness under dependence uncertainty, Statistics & Probability Letters, Elsevier (2023) Downloads (2023)
  2. Cost-efficient Payoffs under Model Ambiguity
    Papers, arXiv.org Downloads
    See also Journal Article Cost-efficient payoffs under model ambiguity, Finance and Stochastics, Springer (2024) Downloads View citations (1) (2024)
  3. Robust Distortion Risk Measures
    Papers, arXiv.org Downloads View citations (13)
    See also Journal Article Robust distortion risk measures, Mathematical Finance, Wiley Blackwell (2024) Downloads (2024)

2021

  1. Beta-Adjusted Covariance Estimation
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads

2019

  1. The variance implied conditional correlation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article The variance implied conditional correlation, The European Journal of Finance, Taylor & Francis Journals (2020) Downloads (2020)

2018

  1. Measuring Portfolio Risk Under Partial Dependence Information
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (12)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) Downloads View citations (2)

    See also Journal Article MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION, Journal of Risk & Insurance, The American Risk and Insurance Association (2018) Downloads View citations (12) (2018)

2015

  1. Optimal payoffs under state-dependent preferences
    Post-Print, HAL View citations (12)
    Also in Papers, arXiv.org (2014) Downloads View citations (2)

    See also Journal Article Optimal payoffs under state-dependent preferences, Quantitative Finance, Taylor & Francis Journals (2015) Downloads View citations (10) (2015)

2014

  1. Optimal portfolios under worst-case scenarios
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
    See also Journal Article Optimal portfolios under worst-case scenarios, Quantitative Finance, Taylor & Francis Journals (2014) Downloads View citations (3) (2014)
  2. Rationalizing Investors Choice
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Rationalizing investors’ choices, Journal of Mathematical Economics, Elsevier (2015) Downloads View citations (10) (2015)

2013

  1. Optimal payoffs under state-dependent constraints
    Post-Print, HAL View citations (2)

2009

  1. Buy-and-Hold Strategies and Comonotonic Approximations
    Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia Downloads View citations (1)
  2. Optimal capital allocation principles
    MPRA Paper, University Library of Munich, Germany Downloads View citations (13)
    See also Journal Article Optimal Capital Allocation Principles, Journal of Risk & Insurance, The American Risk and Insurance Association (2012) Downloads View citations (92) (2012)

Journal Articles

2025

  1. Optimal payoffs under smooth ambiguity
    European Journal of Operational Research, 2025, 320, (3), 754-764 Downloads View citations (1)

2024

  1. Cost-efficient payoffs under model ambiguity
    Finance and Stochastics, 2024, 28, (4), 965-997 Downloads View citations (1)
    See also Working Paper Cost-efficient Payoffs under Model Ambiguity, Papers (2023) Downloads (2023)
  2. Implied value-at-risk and model-free simulation
    Annals of Operations Research, 2024, 336, (1), 925-943 Downloads
  3. Robust distortion risk measures
    Mathematical Finance, 2024, 34, (3), 774-818 Downloads
    See also Working Paper Robust Distortion Risk Measures, Papers (2023) Downloads View citations (13) (2023)
  4. Up- and down-correlations in normal variance mixture models
    Statistics & Probability Letters, 2024, 205, (C) Downloads

2023

  1. Coskewness under dependence uncertainty
    Statistics & Probability Letters, 2023, 199, (C) Downloads
    See also Working Paper Coskewness under dependence uncertainty, Papers (2023) Downloads (2023)
  2. ETF Basket-Adjusted Covariance estimation
    Journal of Econometrics, 2023, 235, (2), 1144-1171 Downloads
  3. Optimal multivariate financial decision making
    European Journal of Operational Research, 2023, 307, (1), 468-483 Downloads
  4. The impact of correlation on (Range) Value-at-Risk
    Scandinavian Actuarial Journal, 2023, 2023, (6), 531-564 Downloads View citations (2)

2022

  1. Fair allocation of indivisible goods with minimum inequality or minimum envy
    European Journal of Operational Research, 2022, 297, (2), 741-752 Downloads View citations (1)
  2. The optimal payoff for a Yaari investor
    Quantitative Finance, 2022, 22, (10), 1839-1852 Downloads View citations (2)

2021

  1. A model-free approach to multivariate option pricing
    Review of Derivatives Research, 2021, 24, (2), 135-155 Downloads
  2. When do two- or three-fund separation theorems hold?
    Quantitative Finance, 2021, 21, (11), 1869-1883 Downloads View citations (1)

2020

  1. Correlation matrices with average constraints
    Statistics & Probability Letters, 2020, 165, (C) Downloads
  2. On the computation of Wasserstein barycenters
    Journal of Multivariate Analysis, 2020, 176, (C) Downloads View citations (2)
  3. On the construction of optimal payoffs
    Decisions in Economics and Finance, 2020, 43, (1), 129-153 Downloads View citations (10)
  4. Optimal insurance in the presence of multiple policyholders
    Journal of Economic Behavior & Organization, 2020, 180, (C), 638-656 Downloads View citations (7)
  5. Range Value-at-Risk bounds for unimodal distributions under partial information
    Insurance: Mathematics and Economics, 2020, 94, (C), 9-24 Downloads View citations (6)
  6. The variance implied conditional correlation
    The European Journal of Finance, 2020, 26, (2-3), 200-222 Downloads
    See also Working Paper The variance implied conditional correlation, ULB Institutional Repository (2019) (2019)

2019

  1. A new efficiency test for ranking investments: Application to hedge fund performance
    Economics Letters, 2019, 181, (C), 203-207 Downloads View citations (1)
  2. Closed‐form approximations for spread options in Lévy markets
    Applied Stochastic Models in Business and Industry, 2019, 35, (3), 732-746 Downloads View citations (1)
  3. Equivalent distortion risk measures on moment spaces
    Statistics & Probability Letters, 2019, 146, (C), 187-192 Downloads
  4. Optimal portfolio choice with benchmarks
    Journal of the Operational Research Society, 2019, 70, (10), 1600-1621 Downloads View citations (2)
  5. Optimal strategies under Omega ratio
    European Journal of Operational Research, 2019, 275, (2), 755-767 Downloads View citations (12)

2018

  1. Block rearranging elements within matrix columns to minimize the variability of the row sums
    4OR, 2018, 16, (1), 31-50 Downloads View citations (5)
  2. MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION
    Journal of Risk & Insurance, 2018, 85, (3), 843-863 Downloads View citations (12)
    See also Working Paper Measuring Portfolio Risk Under Partial Dependence Information, LIDAM Reprints ISBA (2018) View citations (12) (2018)
  3. OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY
    International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (03), 1-22 Downloads
  4. Optimal portfolios under a correlation constraint
    Quantitative Finance, 2018, 18, (3), 333-345 Downloads View citations (5)
  5. Rearrangement algorithm and maximum entropy
    Annals of Operations Research, 2018, 261, (1), 107-134 Downloads View citations (6)
  6. Upper bounds for strictly concave distortion risk measures on moment spaces
    Insurance: Mathematics and Economics, 2018, 82, (C), 141-151 Downloads View citations (9)

2017

  1. A stein type lemma for the multivariate generalized hyperbolic distribution
    European Journal of Operational Research, 2017, 261, (2), 606-612 Downloads View citations (4)
  2. How robust is the value-at-risk of credit risk portfolios?
    The European Journal of Finance, 2017, 23, (6), 507-534 Downloads View citations (19)
  3. Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
    North American Actuarial Journal, 2017, 21, (1), 63-86 Downloads View citations (7)
  4. My introduction to copulas: An interview with Roger Nelsen
    Dependence Modeling, 2017, 5, (1), 88-98 Downloads View citations (1)
  5. Reduction of Value-at-Risk bounds via independence and variance information
    Scandinavian Actuarial Journal, 2017, 2017, (3), 245-266 Downloads View citations (1)
  6. Risk bounds for factor models
    Finance and Stochastics, 2017, 21, (3), 631-659 Downloads View citations (22)
  7. The Vine Philosopher: An interview with Roger Cooke
    Dependence Modeling, 2017, 5, (1), 256-267 Downloads View citations (1)
  8. Value-at-Risk Bounds With Variance Constraints
    Journal of Risk & Insurance, 2017, 84, (3), 923-959 Downloads View citations (23)

2016

  1. Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio
    Dependence Modeling, 2016, 4, (1), 14 Downloads View citations (2)
  2. Stat Trek. An interview with Christian Genest
    Dependence Modeling, 2016, 4, (1), 14 Downloads

2015

  1. A new approach to assessing model risk in high dimensions
    Journal of Banking & Finance, 2015, 58, (C), 166-178 Downloads View citations (28)
  2. Dependence Uncertainty Bounds for the Expectile of a Portfolio
    Risks, 2015, 3, (4), 1-25 Downloads View citations (4)
  3. Optimal payoffs under state-dependent preferences
    Quantitative Finance, 2015, 15, (7), 1157-1173 Downloads View citations (10)
    See also Working Paper Optimal payoffs under state-dependent preferences, Post-Print (2015) View citations (12) (2015)
  4. Quantile of a Mixture with Application to Model Risk Assessment
    Dependence Modeling, 2015, 3, (1), 10 Downloads View citations (4)
  5. Rationalizing investors’ choices
    Journal of Mathematical Economics, 2015, 59, (C), 10-23 Downloads View citations (10)
    See also Working Paper Rationalizing Investors Choice, Papers (2014) Downloads View citations (1) (2014)
  6. Some Stein-type inequalities for multivariate elliptical distributions and applications
    Statistics & Probability Letters, 2015, 97, (C), 54-62 Downloads View citations (4)

2014

  1. Explicit Representation of Cost-Efficient Strategies
    Finance, 2014, 35, (2), 5-55 Downloads View citations (22)
  2. Financial Bounds for Insurance Claims
    Journal of Risk & Insurance, 2014, 81, (1), 27-56 Downloads View citations (8)
  3. Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection
    European Journal of Operational Research, 2014, 234, (2), 469-480 Downloads View citations (17)
  4. Optimal portfolios under worst-case scenarios
    Quantitative Finance, 2014, 14, (4), 657-671 Downloads View citations (3)
    See also Working Paper Optimal portfolios under worst-case scenarios, ULB Institutional Repository (2014) View citations (3) (2014)
  5. USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS
    ASTIN Bulletin, 2014, 44, (2), 237-276 Downloads View citations (3)

2013

  1. Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
    Scandinavian Actuarial Journal, 2013, 2013, (2), 103-118 Downloads
  2. Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
    North American Actuarial Journal, 2013, 17, (1), 98-100 Downloads

2012

  1. A provisioning problem with stochastic payments
    European Journal of Operational Research, 2012, 221, (2), 445-453 Downloads View citations (3)
  2. AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (02), 1-19 Downloads View citations (7)
  3. Optimal Capital Allocation Principles
    Journal of Risk & Insurance, 2012, 79, (1), 1-28 Downloads View citations (92)
    See also Working Paper Optimal capital allocation principles, MPRA Paper (2009) Downloads View citations (13) (2009)

2011

  1. Bounds for some general sums of random variables
    Statistics & Probability Letters, 2011, 81, (3), 382-391 Downloads View citations (1)
  2. Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
    North American Actuarial Journal, 2011, 15, (1), 77-96 Downloads View citations (3)

2010

  1. Thou shalt buy ‘simple’ structured products only
    Journal of Financial Transformation, 2010, 28, 12-14 View citations (1)
  2. “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009
    North American Actuarial Journal, 2010, 14, (2), 278-279 Downloads

2009

  1. A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
    Applied Mathematical Finance, 2009, 16, (4), 315-330 Downloads View citations (6)
  2. Bounds and approximations for sums of dependent log-elliptical random variables
    Insurance: Mathematics and Economics, 2009, 44, (3), 385-397 Downloads View citations (13)
  3. Correlation order, merging and diversification
    Insurance: Mathematics and Economics, 2009, 45, (3), 325-332 Downloads View citations (7)

2008

  1. Analytic bounds and approximations for annuities and Asian options
    Insurance: Mathematics and Economics, 2008, 42, (3), 1109-1117 Downloads View citations (12)
  2. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 Downloads View citations (30)
  3. On the parameterization of the CreditRisk + model for estimating credit portfolio risk
    Insurance: Mathematics and Economics, 2008, 42, (2), 736-745 Downloads View citations (12)
  4. Some results on the CTE-based capital allocation rule
    Insurance: Mathematics and Economics, 2008, 42, (2), 855-863 Downloads View citations (35)

2007

  1. Comonotonicity
    Review of Business and Economic Literature, 2007, LII, (2), 265-278 Downloads View citations (54)

2005

  1. Comonotonic Approximations for Optimal Portfolio Selection Problems
    Journal of Risk & Insurance, 2005, 72, (2), 253-300 Downloads View citations (26)
  2. Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
    North American Actuarial Journal, 2005, 9, (4), 71-82 Downloads View citations (6)
  3. On the evaluation of ‘saving-consumption’ plans
    Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 Downloads View citations (2)
  4. Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
    Review of Business and Economic Literature, 2005, L, (1), 103-114 Downloads

2003

  1. The hurdle-race problem
    Insurance: Mathematics and Economics, 2003, 33, (2), 405-413 Downloads View citations (6)

2001

  1. How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
    Review of Business and Economic Literature, 2001, XLVI, (4), 533-544 Downloads

Books

2024

  1. Model Risk Management
    Cambridge Books, Cambridge University Press
 
Page updated 2025-03-31