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Details about Steven Vanduffel

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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 2017-09-24. Update your information in the RePEc Author Service.

Short-id: pva754


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Working Papers

2015

  1. Optimal payoffs under state-dependent preferences
    Post-Print, HAL View citations (10)
    Also in Papers, arXiv.org (2014) Downloads View citations (2)

    See also Journal Article in Quantitative Finance (2015)

2014

  1. Optimal portfolios under worst-case scenarios
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article in Quantitative Finance (2014)
  2. Rationalizing Investors Choice
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Journal of Mathematical Economics (2015)

2013

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

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 (12)
    See also Journal Article in Journal of Risk & Insurance (2012)

Journal Articles

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 (2)
  2. Risk bounds for factor models
    Finance and Stochastics, 2017, 21, (3), 631-659 Downloads View citations (12)

2016

  1. Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio
    Dependence Modeling, 2016, 4, (1), 14 Downloads
  2. Stat Trek
    Dependence Modeling, 2016, 4, (1), 109-122 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 (21)
  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 (7)
    See also Working Paper (2015)
  4. Quantile of a Mixture with Application to Model Risk Assessment
    Dependence Modeling, 2015, 3, (1), 10 Downloads View citations (2)
  5. Rationalizing investors’ choices
    Journal of Mathematical Economics, 2015, 59, (C), 10-23 Downloads View citations (3)
    See also Working Paper (2014)
  6. Some Stein-type inequalities for multivariate elliptical distributions and applications
    Statistics & Probability Letters, 2015, 97, (C), 54-62 Downloads View citations (3)

2014

  1. Explicit Representation of Cost-Efficient Strategies
    Finance, 2014, 35, (2), 5-55 Downloads View citations (13)
  2. Financial Bounds for Insurance Claims
    Journal of Risk & Insurance, 2014, 81, (1), 27-56 Downloads View citations (7)
  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 (13)
  4. Optimal portfolios under worst-case scenarios
    Quantitative Finance, 2014, 14, (4), 657-671 Downloads View citations (3)
    See also Working Paper (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 (2)

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 (5)
  3. Optimal Capital Allocation Principles
    Journal of Risk & Insurance, 2012, 79, (1), 1-28 Downloads View citations (60)
    See also Working Paper (2009)

2011

  1. Bounds for some general sums of random variables
    Statistics & Probability Letters, 2011, 81, (3), 382-391 Downloads View citations (1)

2010

  1. Thou shalt buy ‘simple’ structured products only
    Journal of Financial Transformation, 2010, 28, 12-14 View citations (1)

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 (11)
  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 (11)
  2. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 Downloads View citations (24)
  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 (10)
  4. Some results on the CTE-based capital allocation rule
    Insurance: Mathematics and Economics, 2008, 42, (2), 855-863 Downloads View citations (29)

2007

  1. Comonotonicity
    Review of Business and Economic Literature, 2007, LII, (2), 265-278 Downloads View citations (39)

2005

  1. Comonotonic Approximations for Optimal Portfolio Selection Problems
    Journal of Risk & Insurance, 2005, 72, (2), 253-300 Downloads View citations (25)
  2. On the evaluation of ‘saving-consumption’ plans
    Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 Downloads View citations (2)
  3. 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
 
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