Access Statistics for Steven Vanduffel

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Beta-Adjusted Covariance Estimation 0 0 1 35 0 0 4 74
Buy-and-Hold Strategies and Comonotonic Approximations 0 0 0 44 0 0 0 208
Coskewness under dependence uncertainty 0 0 0 2 0 0 0 7
Cost-efficient Payoffs under Model Ambiguity 0 0 0 4 0 0 2 6
Measuring Portfolio Risk Under Partial Dependence Information 0 0 0 0 0 0 0 6
Measuring Portfolio Risk under Partial Dependence Information 0 0 0 1 0 1 2 4
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 0 1 1 1
Optimal Payoffs under State-dependent Preferences 0 0 0 15 1 1 1 32
Optimal Transport Divergences induced by Scoring Functions 0 0 1 2 0 1 4 5
Optimal capital allocation principles 0 0 0 141 1 2 7 363
Optimal payoff under Bregman-Wasserstein divergence constraints 1 1 1 1 0 1 1 1
Optimal payoffs under state-dependent constraints 0 0 0 0 1 1 1 23
Optimal payoffs under state-dependent preferences 0 0 0 0 0 0 0 16
Optimal portfolios under worst-case scenarios 0 0 0 0 1 1 2 21
Rationalizing Investors Choice 0 0 0 19 0 1 2 127
Robust Distortion Risk Measures 0 0 0 5 0 0 2 13
The variance implied conditional correlation 0 0 0 0 0 0 1 4
Total Working Papers 1 1 3 269 4 10 30 911

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets 0 0 0 3 0 1 2 55
A model-free approach to multivariate option pricing 0 0 1 3 0 0 1 22
A new approach to assessing model risk in high dimensions 0 0 2 8 0 0 5 39
A new efficiency test for ranking investments: Application to hedge fund performance 0 1 1 4 2 4 5 41
A provisioning problem with stochastic payments 0 0 0 2 0 0 1 17
A stein type lemma for the multivariate generalized hyperbolic distribution 1 1 1 4 1 2 4 29
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING 1 1 1 1 1 1 1 17
Analytic bounds and approximations for annuities and Asian options 0 0 0 19 0 0 0 74
Block rearranging elements within matrix columns to minimize the variability of the row sums 0 0 0 0 2 2 8 25
Bounds and approximations for sums of dependent log-elliptical random variables 0 0 0 10 0 0 1 130
Bounds for some general sums of random variables 0 0 0 1 1 1 3 24
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given 0 0 0 0 0 0 0 1
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 0 0 0 185
Closed‐form approximations for spread options in Lévy markets 0 0 0 2 0 0 0 6
Comonotonic Approximations for Optimal Portfolio Selection Problems 0 0 0 23 0 0 0 99
Comonotonicity 0 0 0 10 0 0 0 86
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables 0 0 0 1 0 0 1 9
Correlation matrices with average constraints 0 0 0 2 0 0 1 9
Correlation order, merging and diversification 0 0 0 16 0 0 0 55
Coskewness under dependence uncertainty 0 0 0 0 0 0 0 1
Cost-efficient payoffs under model ambiguity 0 0 0 0 0 0 0 0
Dependence Uncertainty Bounds for the Expectile of a Portfolio 0 0 0 1 0 0 0 45
Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) 0 0 0 0 1 1 1 8
Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio 0 0 1 8 1 1 4 33
ETF Basket-Adjusted Covariance estimation 0 0 0 1 0 1 3 8
Equivalent distortion risk measures on moment spaces 0 0 0 0 0 0 0 8
Explicit Representation of Cost-Efficient Strategies 0 0 0 9 1 1 1 58
Fair allocation of indivisible goods with minimum inequality or minimum envy 0 0 0 1 1 1 2 9
Financial Bounds for Insurance Claims 0 0 0 3 0 0 0 32
How robust is the value-at-risk of credit risk portfolios? 0 0 0 4 0 1 2 28
How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities 0 0 1 6 0 0 3 57
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees 0 0 0 1 0 0 0 3
Implied value-at-risk and model-free simulation 0 0 0 0 1 1 3 3
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market 0 0 0 0 0 0 0 2
MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION 0 0 0 16 0 1 6 46
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection 0 0 0 9 0 0 2 69
My introduction to copulas: An interview with Roger Nelsen 0 0 0 8 0 0 0 29
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY 0 0 1 4 1 1 3 25
On the computation of Wasserstein barycenters 0 1 2 24 1 2 5 63
On the construction of optimal payoffs 0 0 0 3 0 0 1 14
On the evaluation of ‘saving-consumption’ plans 0 0 0 10 1 1 2 74
On the parameterization of the CreditRisk + model for estimating credit portfolio risk 0 0 2 38 0 1 3 103
Optimal Capital Allocation Principles 0 0 0 26 1 1 1 143
Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk 0 0 0 5 0 0 0 52
Optimal insurance in the presence of multiple policyholders 0 0 0 2 2 2 3 28
Optimal multivariate financial decision making 0 0 1 2 0 0 3 6
Optimal payoffs under smooth ambiguity 0 0 0 0 0 1 1 1
Optimal payoffs under state-dependent preferences 0 0 0 6 0 0 0 22
Optimal portfolio choice with benchmarks 0 0 0 1 1 1 1 8
Optimal portfolios under a correlation constraint 0 0 0 3 0 0 0 14
Optimal portfolios under worst-case scenarios 0 0 1 3 0 0 5 31
Optimal strategies under Omega ratio 0 0 1 18 0 0 2 56
Quantile of a Mixture with Application to Model Risk Assessment 0 0 0 5 0 0 0 26
Range Value-at-Risk bounds for unimodal distributions under partial information 1 2 2 7 3 4 5 32
Rationalizing investors’ choices 0 0 0 4 0 0 0 43
Rearrangement algorithm and maximum entropy 0 0 1 3 0 0 2 41
Reduction of Value-at-Risk bounds via independence and variance information 0 0 1 1 0 0 1 1
Risk bounds for factor models 0 0 0 7 0 0 1 31
Robust distortion risk measures 0 0 0 0 1 1 3 3
Some Stein-type inequalities for multivariate elliptical distributions and applications 0 0 0 5 1 2 3 31
Some results on the CTE-based capital allocation rule 0 0 0 47 0 0 0 219
Stat Trek. An interview with Christian Genest 0 0 0 3 0 0 3 307
The Vine Philosopher: An interview with Roger Cooke 0 0 0 0 1 1 2 11
The hurdle-race problem 0 0 0 42 1 1 1 192
The impact of correlation on (Range) Value-at-Risk 0 0 0 0 0 1 3 3
The optimal payoff for a Yaari investor 0 0 0 1 1 1 1 2
The variance implied conditional correlation 0 0 0 1 0 0 1 12
Thou shalt buy ‘simple’ structured products only 0 0 0 0 0 0 1 85
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 1 1 1 15
Up- and down-correlations in normal variance mixture models 0 0 0 0 0 0 0 0
Upper bounds for strictly concave distortion risk measures on moment spaces 0 0 0 4 0 0 2 31
Value-at-Risk Bounds With Variance Constraints 0 0 0 4 0 0 2 29
When do two- or three-fund separation theorems hold? 0 0 0 1 0 0 0 4
“Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 0 0 0 0 0 0 0 8
Total Journal Articles 3 6 20 490 28 41 122 3,128

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Model Risk Management 0 0 0 0 1 4 14 23
Total Books 0 0 0 0 1 4 14 23

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Statistics updated 2025-03-03