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 1 1 36 0 4 9 83
Buy-and-Hold Strategies and Comonotonic Approximations 0 0 0 44 0 0 3 211
Coskewness under dependence uncertainty 0 0 0 2 0 2 3 10
Cost-efficient Payoffs under Model Ambiguity 0 0 0 4 0 3 3 9
Higher moments under dependence uncertainty with applications in insurance 0 0 1 1 0 2 3 3
Measuring Portfolio Risk Under Partial Dependence Information 0 0 0 0 1 3 4 10
Measuring Portfolio Risk under Partial Dependence Information 0 0 0 1 11 13 14 17
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 1 1 1 2
Optimal Payoffs under State-dependent Preferences 0 0 0 15 1 2 5 36
Optimal Transport Divergences induced by Scoring Functions 0 0 0 2 2 4 6 11
Optimal capital allocation principles 0 0 0 141 2 3 5 367
Optimal payoff under Bregman-Wasserstein divergence constraints 0 0 1 1 0 0 1 2
Optimal payoffs under state-dependent constraints 0 0 0 0 0 1 2 24
Optimal payoffs under state-dependent preferences 0 0 0 0 2 7 13 29
Optimal portfolios under worst-case scenarios 0 0 0 0 3 4 5 25
Rationalizing Investors Choice 0 0 0 19 1 3 4 130
Robust Distortion Risk Measures 0 0 0 5 1 3 4 17
Robust distortion risk metrics and portfolio optimization 9 9 9 9 3 3 3 3
The variance implied conditional correlation 0 0 0 0 1 2 3 7
Total Working Papers 9 10 12 280 29 60 91 996

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 1 1 1 56
A model-free approach to multivariate option pricing 0 0 0 3 1 1 2 24
A new approach to assessing model risk in high dimensions 0 0 0 8 0 1 1 40
A new efficiency test for ranking investments: Application to hedge fund performance 0 0 0 4 2 3 6 45
A provisioning problem with stochastic payments 0 0 0 2 0 3 4 21
A stein type lemma for the multivariate generalized hyperbolic distribution 0 0 1 4 0 0 5 33
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING 0 0 1 1 2 4 5 21
Analytic bounds and approximations for annuities and Asian options 0 0 0 19 1 3 4 78
Block rearranging elements within matrix columns to minimize the variability of the row sums 0 0 0 0 1 2 5 28
Bounds and approximations for sums of dependent log-elliptical random variables 0 0 0 10 0 1 1 131
Bounds for some general sums of random variables 0 0 0 1 1 1 2 25
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given 0 0 0 0 0 3 3 4
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 1 3 3 188
Can an actuarially unfair tontine be optimal? 0 1 3 3 4 9 13 13
Closed‐form approximations for spread options in Lévy markets 0 0 0 2 0 4 6 12
Comonotonic Approximations for Optimal Portfolio Selection Problems 0 0 0 23 1 2 5 104
Comonotonicity 0 0 0 10 1 2 7 93
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables 0 0 0 1 0 2 2 11
Correlation matrices with average constraints 0 0 1 3 0 0 1 10
Correlation order, merging and diversification 0 0 0 16 0 3 4 59
Coskewness under dependence uncertainty 0 0 0 0 1 3 5 6
Cost-efficient payoffs under model ambiguity 0 0 0 0 1 6 9 9
Dependence Uncertainty Bounds for the Expectile of a Portfolio 0 0 0 1 0 0 1 46
Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) 0 0 0 0 1 1 2 9
Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio 0 0 0 8 0 0 1 33
ETF Basket-Adjusted Covariance estimation 0 0 0 1 0 6 9 16
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 2 3 4 61
Fair allocation of indivisible goods with minimum inequality or minimum envy 0 0 1 2 0 1 5 13
Financial Bounds for Insurance Claims 0 0 0 3 1 6 7 39
How robust is the value-at-risk of credit risk portfolios? 0 0 0 4 0 0 1 28
How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities 0 0 0 6 0 0 1 58
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees 0 0 1 2 1 1 2 5
Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions 0 0 0 0 1 1 1 1
Implied value-at-risk and model-free simulation 0 0 0 0 1 1 2 4
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market 0 0 0 0 1 1 2 4
Linear risk sharing in intergenerational pension 0 0 0 0 2 3 3 3
MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION 0 0 0 16 0 2 3 48
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection 0 0 0 9 1 3 4 73
Model uncertainty assessment for symmetric and right-skewed distributions 0 1 1 1 1 4 4 4
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 0 0 0 0
My introduction to copulas: An interview with Roger Nelsen 0 0 0 8 0 1 2 31
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY 0 0 0 4 2 5 9 33
On the computation of Wasserstein barycenters 0 0 0 24 1 4 6 68
On the construction of optimal payoffs 0 0 0 3 0 1 8 22
On the evaluation of ‘saving-consumption’ plans 0 0 0 10 1 3 4 77
On the parameterization of the CreditRisk + model for estimating credit portfolio risk 0 0 0 38 2 5 7 110
Optimal Capital Allocation Principles 0 1 1 27 0 4 7 149
Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk 0 0 0 5 0 3 4 56
Optimal insurance in the presence of multiple policyholders 0 1 1 3 2 4 9 35
Optimal multivariate financial decision making 0 1 1 3 1 2 5 11
Optimal payoffs under smooth ambiguity 0 0 2 2 11 13 21 21
Optimal payoffs under state-dependent preferences 0 0 0 6 1 4 18 40
Optimal portfolio choice with benchmarks 0 0 0 1 0 1 3 10
Optimal portfolios under a correlation constraint 0 0 0 3 0 0 1 15
Optimal portfolios under worst-case scenarios 0 0 0 3 0 3 4 35
Optimal strategies under Omega ratio 0 1 1 19 5 11 11 67
Quantile of a Mixture with Application to Model Risk Assessment 0 0 0 5 0 2 3 29
Range Value-at-Risk bounds for unimodal distributions under partial information 0 0 3 9 2 5 10 39
Rationalizing investors’ choices 0 0 0 4 3 5 7 50
Rearrangement algorithm and maximum entropy 0 0 0 3 0 0 1 42
Reduction of Value-at-Risk bounds via independence and variance information 0 0 0 1 1 1 1 2
Risk bounds for factor models 0 1 1 8 2 5 7 38
Robust distortion risk measures 0 1 2 2 2 4 8 10
Some Stein-type inequalities for multivariate elliptical distributions and applications 0 0 0 5 0 2 4 33
Some results on the CTE-based capital allocation rule 0 0 0 47 1 2 2 221
Stat Trek. An interview with Christian Genest 0 0 0 3 0 3 4 311
The Vine Philosopher: An interview with Roger Cooke 0 0 0 0 0 0 1 11
The hurdle-race problem 0 0 0 42 0 0 2 193
The impact of correlation on (Range) Value-at-Risk 0 0 0 0 1 2 4 6
The optimal payoff for a Yaari investor 0 0 0 1 0 0 2 3
The variance implied conditional correlation 0 0 0 1 1 2 3 15
Thou shalt buy ‘simple’ structured products only 0 0 0 0 0 0 0 85
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 1 2 4 18
Up- and down-correlations in normal variance mixture models 0 0 0 0 1 2 3 3
Upper bounds for strictly concave distortion risk measures on moment spaces 0 0 0 4 3 3 3 34
Value-at-Risk Bounds With Variance Constraints 0 0 0 4 3 6 8 37
When do two- or three-fund separation theorems hold? 0 0 0 1 3 5 6 10
“Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 0 0 0 0 0 2 3 11
Total Journal Articles 0 8 21 508 80 207 351 3,445

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 2 4 11 31
Total Books 0 0 0 0 2 4 11 31

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2026-01-09