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
Buy-and-Hold Strategies and Comonotonic Approximations 0 0 0 43 0 0 2 205
Optimal Payoffs under State-dependent Preferences 0 0 0 15 0 0 3 27
Optimal capital allocation principles 0 0 0 137 0 1 11 342
Optimal payoffs under state-dependent constraints 0 0 0 0 0 1 4 21
Optimal payoffs under state-dependent preferences 0 0 0 0 0 2 5 16
Optimal portfolios under worst-case scenarios 0 0 0 0 0 1 4 12
Rationalizing Investors Choice 0 0 0 19 0 0 3 123
Total Working Papers 0 0 0 214 0 5 32 746


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 0 3 52
A new approach to assessing model risk in high dimensions 0 1 2 3 0 1 8 23
A provisioning problem with stochastic payments 0 0 0 1 0 0 1 13
A stein type lemma for the multivariate generalized hyperbolic distribution 0 1 2 2 1 2 6 15
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING 0 0 0 0 0 1 2 4
Analytic bounds and approximations for annuities and Asian options 0 0 0 19 0 0 5 68
Bounds and approximations for sums of dependent log-elliptical random variables 0 0 0 10 0 0 1 125
Bounds for some general sums of random variables 0 0 0 1 0 0 0 19
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 31 0 0 2 172
Comonotonic Approximations for Optimal Portfolio Selection Problems 0 0 0 22 0 0 2 92
Comonotonicity 0 1 1 10 0 3 4 75
Correlation order, merging and diversification 0 0 0 16 0 1 5 55
Dependence Uncertainty Bounds for the Expectile of a Portfolio 0 0 0 1 0 2 9 35
Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio 0 0 1 2 0 0 3 13
Explicit Representation of Cost-Efficient Strategies 0 0 1 5 0 0 5 36
Financial Bounds for Insurance Claims 0 0 0 2 0 0 1 31
How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities 0 0 0 5 0 0 0 52
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection 0 0 0 5 1 2 5 53
On the evaluation of ‘saving-consumption’ plans 0 0 0 10 0 0 0 70
On the parameterization of the CreditRisk + model for estimating credit portfolio risk 0 0 0 35 1 2 5 95
Optimal Capital Allocation Principles 0 0 1 22 0 1 11 124
Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk 0 0 0 5 0 1 4 49
Optimal payoffs under state-dependent preferences 0 0 0 5 1 2 4 17
Optimal portfolios under worst-case scenarios 0 0 0 2 1 1 3 23
Quantile of a Mixture with Application to Model Risk Assessment 0 1 1 5 0 1 2 23
Rationalizing investors’ choices 0 0 0 3 0 0 3 32
Risk bounds for factor models 0 0 0 2 2 2 5 18
Some Stein-type inequalities for multivariate elliptical distributions and applications 0 0 1 5 0 0 2 26
Some results on the CTE-based capital allocation rule 1 1 1 42 2 3 7 204
Stat Trek 0 0 1 3 9 19 76 228
The hurdle-race problem 0 0 0 41 0 1 3 190
Thou shalt buy ‘simple’ structured products only 0 0 0 0 0 0 4 76
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 0 0 4 13
Total Journal Articles 1 5 12 319 18 45 195 2,121


Statistics updated 2021-01-03