Details about Steven Vanduffel
Access statistics for papers by Steven Vanduffel.
Last updated 2025-01-06. Update your information in the RePEc Author Service.
Short-id: pva754
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Working Papers
2024
- Modeling coskewness with zero correlation and correlation with zero coskewness
Papers, arXiv.org
- Optimal Transport Divergences induced by Scoring Functions
Papers, arXiv.org View citations (1)
- Optimal payoff under Bregman-Wasserstein divergence constraints
Papers, arXiv.org
2023
- Coskewness under dependence uncertainty
Papers, arXiv.org 
See also Journal Article Coskewness under dependence uncertainty, Statistics & Probability Letters, Elsevier (2023) (2023)
- Cost-efficient Payoffs under Model Ambiguity
Papers, arXiv.org 
See also Journal Article Cost-efficient payoffs under model ambiguity, Finance and Stochastics, Springer (2024) View citations (1) (2024)
- Robust Distortion Risk Measures
Papers, arXiv.org View citations (13)
See also Journal Article Robust distortion risk measures, Mathematical Finance, Wiley Blackwell (2024) (2024)
2021
- Beta-Adjusted Covariance Estimation
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration
2019
- 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) (2020)
2018
- 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) 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) View citations (12) (2018)
2015
- Optimal payoffs under state-dependent preferences
Post-Print, HAL View citations (12)
Also in Papers, arXiv.org (2014) View citations (2)
See also Journal Article Optimal payoffs under state-dependent preferences, Quantitative Finance, Taylor & Francis Journals (2015) View citations (10) (2015)
2014
- 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) View citations (3) (2014)
- Rationalizing Investors Choice
Papers, arXiv.org View citations (1)
See also Journal Article Rationalizing investors’ choices, Journal of Mathematical Economics, Elsevier (2015) View citations (10) (2015)
2013
- Optimal payoffs under state-dependent constraints
Post-Print, HAL View citations (2)
2009
- Buy-and-Hold Strategies and Comonotonic Approximations
Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia View citations (1)
- Optimal capital allocation principles
MPRA Paper, University Library of Munich, Germany View citations (13)
See also Journal Article Optimal Capital Allocation Principles, Journal of Risk & Insurance, The American Risk and Insurance Association (2012) View citations (92) (2012)
Journal Articles
2025
- Optimal payoffs under smooth ambiguity
European Journal of Operational Research, 2025, 320, (3), 754-764 View citations (1)
2024
- Cost-efficient payoffs under model ambiguity
Finance and Stochastics, 2024, 28, (4), 965-997 View citations (1)
See also Working Paper Cost-efficient Payoffs under Model Ambiguity, Papers (2023) (2023)
- Implied value-at-risk and model-free simulation
Annals of Operations Research, 2024, 336, (1), 925-943
- Robust distortion risk measures
Mathematical Finance, 2024, 34, (3), 774-818 
See also Working Paper Robust Distortion Risk Measures, Papers (2023) View citations (13) (2023)
- Up- and down-correlations in normal variance mixture models
Statistics & Probability Letters, 2024, 205, (C)
2023
- Coskewness under dependence uncertainty
Statistics & Probability Letters, 2023, 199, (C) 
See also Working Paper Coskewness under dependence uncertainty, Papers (2023) (2023)
- ETF Basket-Adjusted Covariance estimation
Journal of Econometrics, 2023, 235, (2), 1144-1171
- Optimal multivariate financial decision making
European Journal of Operational Research, 2023, 307, (1), 468-483
- The impact of correlation on (Range) Value-at-Risk
Scandinavian Actuarial Journal, 2023, 2023, (6), 531-564 View citations (2)
2022
- Fair allocation of indivisible goods with minimum inequality or minimum envy
European Journal of Operational Research, 2022, 297, (2), 741-752 View citations (1)
- The optimal payoff for a Yaari investor
Quantitative Finance, 2022, 22, (10), 1839-1852 View citations (2)
2021
- A model-free approach to multivariate option pricing
Review of Derivatives Research, 2021, 24, (2), 135-155
- When do two- or three-fund separation theorems hold?
Quantitative Finance, 2021, 21, (11), 1869-1883 View citations (1)
2020
- Correlation matrices with average constraints
Statistics & Probability Letters, 2020, 165, (C)
- On the computation of Wasserstein barycenters
Journal of Multivariate Analysis, 2020, 176, (C) View citations (2)
- On the construction of optimal payoffs
Decisions in Economics and Finance, 2020, 43, (1), 129-153 View citations (10)
- Optimal insurance in the presence of multiple policyholders
Journal of Economic Behavior & Organization, 2020, 180, (C), 638-656 View citations (7)
- Range Value-at-Risk bounds for unimodal distributions under partial information
Insurance: Mathematics and Economics, 2020, 94, (C), 9-24 View citations (6)
- The variance implied conditional correlation
The European Journal of Finance, 2020, 26, (2-3), 200-222 
See also Working Paper The variance implied conditional correlation, ULB Institutional Repository (2019) (2019)
2019
- A new efficiency test for ranking investments: Application to hedge fund performance
Economics Letters, 2019, 181, (C), 203-207 View citations (1)
- Closed‐form approximations for spread options in Lévy markets
Applied Stochastic Models in Business and Industry, 2019, 35, (3), 732-746 View citations (1)
- Equivalent distortion risk measures on moment spaces
Statistics & Probability Letters, 2019, 146, (C), 187-192
- Optimal portfolio choice with benchmarks
Journal of the Operational Research Society, 2019, 70, (10), 1600-1621 View citations (2)
- Optimal strategies under Omega ratio
European Journal of Operational Research, 2019, 275, (2), 755-767 View citations (12)
2018
- Block rearranging elements within matrix columns to minimize the variability of the row sums
4OR, 2018, 16, (1), 31-50 View citations (5)
- MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION
Journal of Risk & Insurance, 2018, 85, (3), 843-863 View citations (12)
See also Working Paper Measuring Portfolio Risk Under Partial Dependence Information, LIDAM Reprints ISBA (2018) View citations (12) (2018)
- OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY
International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (03), 1-22
- Optimal portfolios under a correlation constraint
Quantitative Finance, 2018, 18, (3), 333-345 View citations (5)
- Rearrangement algorithm and maximum entropy
Annals of Operations Research, 2018, 261, (1), 107-134 View citations (6)
- Upper bounds for strictly concave distortion risk measures on moment spaces
Insurance: Mathematics and Economics, 2018, 82, (C), 141-151 View citations (9)
2017
- A stein type lemma for the multivariate generalized hyperbolic distribution
European Journal of Operational Research, 2017, 261, (2), 606-612 View citations (4)
- How robust is the value-at-risk of credit risk portfolios?
The European Journal of Finance, 2017, 23, (6), 507-534 View citations (19)
- Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
North American Actuarial Journal, 2017, 21, (1), 63-86 View citations (7)
- My introduction to copulas: An interview with Roger Nelsen
Dependence Modeling, 2017, 5, (1), 88-98 View citations (1)
- Reduction of Value-at-Risk bounds via independence and variance information
Scandinavian Actuarial Journal, 2017, 2017, (3), 245-266 View citations (1)
- Risk bounds for factor models
Finance and Stochastics, 2017, 21, (3), 631-659 View citations (22)
- The Vine Philosopher: An interview with Roger Cooke
Dependence Modeling, 2017, 5, (1), 256-267 View citations (1)
- Value-at-Risk Bounds With Variance Constraints
Journal of Risk & Insurance, 2017, 84, (3), 923-959 View citations (23)
2016
- Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio
Dependence Modeling, 2016, 4, (1), 14 View citations (2)
- Stat Trek. An interview with Christian Genest
Dependence Modeling, 2016, 4, (1), 14
2015
- A new approach to assessing model risk in high dimensions
Journal of Banking & Finance, 2015, 58, (C), 166-178 View citations (28)
- Dependence Uncertainty Bounds for the Expectile of a Portfolio
Risks, 2015, 3, (4), 1-25 View citations (4)
- Optimal payoffs under state-dependent preferences
Quantitative Finance, 2015, 15, (7), 1157-1173 View citations (10)
See also Working Paper Optimal payoffs under state-dependent preferences, Post-Print (2015) View citations (12) (2015)
- Quantile of a Mixture with Application to Model Risk Assessment
Dependence Modeling, 2015, 3, (1), 10 View citations (4)
- Rationalizing investors’ choices
Journal of Mathematical Economics, 2015, 59, (C), 10-23 View citations (10)
See also Working Paper Rationalizing Investors Choice, Papers (2014) View citations (1) (2014)
- Some Stein-type inequalities for multivariate elliptical distributions and applications
Statistics & Probability Letters, 2015, 97, (C), 54-62 View citations (4)
2014
- Explicit Representation of Cost-Efficient Strategies
Finance, 2014, 35, (2), 5-55 View citations (22)
- Financial Bounds for Insurance Claims
Journal of Risk & Insurance, 2014, 81, (1), 27-56 View citations (8)
- 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 View citations (17)
- Optimal portfolios under worst-case scenarios
Quantitative Finance, 2014, 14, (4), 657-671 View citations (3)
See also Working Paper Optimal portfolios under worst-case scenarios, ULB Institutional Repository (2014) View citations (3) (2014)
- USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS
ASTIN Bulletin, 2014, 44, (2), 237-276 View citations (3)
2013
- 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
- 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
2012
- A provisioning problem with stochastic payments
European Journal of Operational Research, 2012, 221, (2), 445-453 View citations (3)
- AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING
International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (02), 1-19 View citations (7)
- Optimal Capital Allocation Principles
Journal of Risk & Insurance, 2012, 79, (1), 1-28 View citations (92)
See also Working Paper Optimal capital allocation principles, MPRA Paper (2009) View citations (13) (2009)
2011
- Bounds for some general sums of random variables
Statistics & Probability Letters, 2011, 81, (3), 382-391 View citations (1)
- Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
North American Actuarial Journal, 2011, 15, (1), 77-96 View citations (3)
2010
- Thou shalt buy ‘simple’ structured products only
Journal of Financial Transformation, 2010, 28, 12-14 View citations (1)
- “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
2009
- A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
Applied Mathematical Finance, 2009, 16, (4), 315-330 View citations (6)
- Bounds and approximations for sums of dependent log-elliptical random variables
Insurance: Mathematics and Economics, 2009, 44, (3), 385-397 View citations (13)
- Correlation order, merging and diversification
Insurance: Mathematics and Economics, 2009, 45, (3), 325-332 View citations (7)
2008
- Analytic bounds and approximations for annuities and Asian options
Insurance: Mathematics and Economics, 2008, 42, (3), 1109-1117 View citations (12)
- Can a Coherent Risk Measure Be Too Subadditive?
Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (30)
- On the parameterization of the CreditRisk + model for estimating credit portfolio risk
Insurance: Mathematics and Economics, 2008, 42, (2), 736-745 View citations (12)
- Some results on the CTE-based capital allocation rule
Insurance: Mathematics and Economics, 2008, 42, (2), 855-863 View citations (35)
2007
- Comonotonicity
Review of Business and Economic Literature, 2007, LII, (2), 265-278 View citations (54)
2005
- Comonotonic Approximations for Optimal Portfolio Selection Problems
Journal of Risk & Insurance, 2005, 72, (2), 253-300 View citations (26)
- Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
North American Actuarial Journal, 2005, 9, (4), 71-82 View citations (6)
- On the evaluation of ‘saving-consumption’ plans
Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 View citations (2)
- Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
Review of Business and Economic Literature, 2005, L, (1), 103-114
2003
- The hurdle-race problem
Insurance: Mathematics and Economics, 2003, 33, (2), 405-413 View citations (6)
2001
- How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
Review of Business and Economic Literature, 2001, XLVI, (4), 533-544
Books
2024
- Model Risk Management
Cambridge Books, Cambridge University Press
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