Steven Vanduffel
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Steven |
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Vanduffel |
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Affiliations
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Vrije Universiteit Brussel
/ Faculteit van de Economische, Sociale en Politieke Wetenschappen en Solvay Management School
Research profile
author of:
- Measuring Portfolio Risk under Partial Dependence Information (RePEc:aiz:louvad:2014009)
by Bernard, Carole & Denuit, Michel & Vanduffel, Steven - Measuring Portfolio Risk Under Partial Dependence Information (RePEc:aiz:louvar:2018025)
by Bernard, Carole & Denuit, Michel & Vanduffel, Steven - Rationalizing Investors Choice (RePEc:arx:papers:1302.4679)
by Carole Bernard & Jit Seng Chen & Steven Vanduffel - Optimal Payoffs under State-dependent Preferences (RePEc:arx:papers:1308.6465)
by Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel - Robust Distortion Risk Measures (RePEc:arx:papers:2205.08850)
by Carole Bernard & Silvana M. Pesenti & Steven Vanduffel - Cost-efficient Payoffs under Model Ambiguity (RePEc:arx:papers:2207.02948)
by Carole Bernard & Gero Junike & Thibaut Lux & Steven Vanduffel - Coskewness under dependence uncertainty (RePEc:arx:papers:2303.17266)
by Carole Bernard & Jinghui Chen & Ludger Ruschendorf & Steven Vanduffel - Buy-and-Hold Strategies and Comonotonic Approximations (RePEc:bar:bedcje:2009213)
by J. Marin-Solano (Universitat de Barcelona) & O. Roch (Universitat de Barcelona) & J. Dhaene (Katholieke Univerisiteit Leuven) & C. Ribas (Universitat de Barcelona) & M. Bosch-Princep (Universitat de B - Comonotonic Approximations for Optimal Portfolio Selection Problems (RePEc:bla:jrinsu:v:72:y:2005:i:2:p:253-300)
by J. Dhaene & S. Vanduffel & M. J. Goovaerts & R. Kaas & D. Vyncke - Can a Coherent Risk Measure Be Too Subadditive? (RePEc:bla:jrinsu:v:75:y:2008:i:2:p:365-386)
by J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts - Optimal Capital Allocation Principles (RePEc:bla:jrinsu:v:79:y:2012:i:1:p:1-28)
by Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel - Financial Bounds for Insurance Claims (RePEc:bla:jrinsu:v:81:y:2014:i:1:p:27-56)
by Carole Bernard & Steven Vanduffel - Value-at-Risk Bounds With Variance Constraints (RePEc:bla:jrinsu:v:84:y:2017:i:3:p:923-959)
by Carole Bernard & Ludger Rüschendorf & Steven Vanduffel - Measuring Portfolio Risk Under Partial Dependence Information (RePEc:bla:jrinsu:v:85:y:2018:i:3:p:843-863)
by Carole Bernard & Michel Denuit & Steven Vanduffel - Explicit Representation of Cost-Efficient Strategies (RePEc:cai:finpug:fina_352_0005)
by Carole Bernard & Phelim P. Boyle & Steven Vanduffel - Using Model-Independent Lower Bounds To Improve Pricing Of Asian Style Options In Lã‰Vy Markets (RePEc:cup:astinb:v:44:y:2014:i:02:p:237-276_00)
by Deelstra, Griselda & Rayée, Grégory & Vanduffel, Steven & Yao, Jing - On the evaluation of ‘saving-consumption’ plans (RePEc:cup:jpenef:v:4:y:2005:i:01:p:17-30_00)
by Vanduffel, Steven & Dhaene, Jan & Goovaerts, Marc - A new efficiency test for ranking investments: Application to hedge fund performance (RePEc:eee:ecolet:v:181:y:2019:i:c:p:203-207)
by Bernard, Carole & Vanduffel, Steven & Ye, Jiang - ETF Basket-Adjusted Covariance estimation (RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171)
by Boudt, Kris & Dragun, Kirill & Sauri, Orimar & Vanduffel, Steven - A provisioning problem with stochastic payments (RePEc:eee:ejores:v:221:y:2012:i:2:p:445-453)
by Pagnoncelli, Bernardo K. & Vanduffel, Steven - Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection (RePEc:eee:ejores:v:234:y:2014:i:2:p:469-480)
by Bernard, C. & Vanduffel, S. - A stein type lemma for the multivariate generalized hyperbolic distribution (RePEc:eee:ejores:v:261:y:2017:i:2:p:606-612)
by Vanduffel, Steven & Yao, Jing - Optimal strategies under Omega ratio (RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767)
by Bernard, Carole & Vanduffel, Steven & Ye, Jiang - Fair allocation of indivisible goods with minimum inequality or minimum envy (RePEc:eee:ejores:v:297:y:2022:i:2:p:741-752)
by Cornilly, Dries & Puccetti, Giovanni & Rüschendorf, Ludger & Vanduffel, Steven - Optimal multivariate financial decision making (RePEc:eee:ejores:v:307:y:2023:i:1:p:468-483)
by Bernard, C. & De Gennaro Aquino, L. & Vanduffel, S. - The hurdle-race problem (RePEc:eee:insuma:v:33:y:2003:i:2:p:405-413)
by Vanduffel, S. & Dhaene, J. & Goovaerts, M. & Kaas, R. - On the parameterization of the CreditRisk + model for estimating credit portfolio risk (RePEc:eee:insuma:v:42:y:2008:i:2:p:736-745)
by Vandendorpe, Antoine & Ho, Ngoc-Diep & Vanduffel, Steven & Van Dooren, Paul - Some results on the CTE-based capital allocation rule (RePEc:eee:insuma:v:42:y:2008:i:2:p:855-863)
by Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S. - Analytic bounds and approximations for annuities and Asian options (RePEc:eee:insuma:v:42:y:2008:i:3:p:1109-1117)
by Vanduffel, Steven & Shang, Zhaoning & Henrard, Luc & Dhaene, Jan & Valdez, Emiliano A. - Bounds and approximations for sums of dependent log-elliptical random variables (RePEc:eee:insuma:v:44:y:2009:i:3:p:385-397)
by Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven - Correlation order, merging and diversification (RePEc:eee:insuma:v:45:y:2009:i:3:p:325-332)
by Dhaene, Jan & Denuit, Michel & Vanduffel, Steven - Upper bounds for strictly concave distortion risk measures on moment spaces (RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151)
by Cornilly, D. & Rüschendorf, L. & Vanduffel, S. - Range Value-at-Risk bounds for unimodal distributions under partial information (RePEc:eee:insuma:v:94:y:2020:i:c:p:9-24)
by Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven - A new approach to assessing model risk in high dimensions (RePEc:eee:jbfina:v:58:y:2015:i:c:p:166-178)
by Bernard, Carole & Vanduffel, Steven - Optimal insurance in the presence of multiple policyholders (RePEc:eee:jeborg:v:180:y:2020:i:c:p:638-656)
by Bernard, Carole & Liu, Fangda & Vanduffel, Steven - On the computation of Wasserstein barycenters (RePEc:eee:jmvana:v:176:y:2020:i:c:s0047259x19302544)
by Puccetti, Giovanni & Rüschendorf, Ludger & Vanduffel, Steven - Rationalizing investors’ choices (RePEc:eee:mateco:v:59:y:2015:i:c:p:10-23)
by Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven - Equivalent distortion risk measures on moment spaces (RePEc:eee:stapro:v:146:y:2019:i:c:p:187-192)
by Cornilly, Dries & Vanduffel, Steven - Correlation matrices with average constraints (RePEc:eee:stapro:v:165:y:2020:i:c:s0167715220301711)
by Tuitman, Jan & Vanduffel, Steven & Yao, Jing - Coskewness under dependence uncertainty (RePEc:eee:stapro:v:199:y:2023:i:c:s0167715223000779)
by Bernard, Carole & Chen, Jinghui & Rüschendorf, Ludger & Vanduffel, Steven - Bounds for some general sums of random variables (RePEc:eee:stapro:v:81:y:2011:i:3:p:382-391)
by Landsman, Zinoviy & Vanduffel, Steven - Some Stein-type inequalities for multivariate elliptical distributions and applications (RePEc:eee:stapro:v:97:y:2015:i:c:p:54-62)
by Landsman, Zinoviy & Vanduffel, Steven & Yao, Jing - How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities (RePEc:ete:revbec:20010405)
by J. DHaene & M. Goovaerts & S. Vanduffel & D. Vyncke - Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk (RePEc:ete:revbec:20050109)
by D. Vyncke & M. Goovaerts & J. Dhaene & S. Vanduffel - Comonotonicity (RePEc:ete:revbec:20070204)
by J. Dhaene & S. Vanduffel & M. Goovaerts - Dependence Uncertainty Bounds for the Expectile of a Portfolio (RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385)
by Edgars Jakobsons & Steven Vanduffel - Optimal payoffs under state-dependent constraints (RePEc:hal:journl:halshs-00830435)
by Franck Moraux & Carole Bernard & Ludger Rüschendorf & Steven Vanduffel - Optimal payoffs under state-dependent preferences (RePEc:hal:journl:halshs-01118540)
by Carole Bernard & Franck Moraux & Ludger Rüschendorf & Steven Vanduffel - A model-free approach to multivariate option pricing (RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09172-2)
by Carole Bernard & Oleg Bondarenko & Steven Vanduffel - Optimal capital allocation principles (RePEc:pra:mprapa:13574)
by Dhaene, Jan & Tsanakas, Andreas & Emiliano, Valdez & Steven, Vanduffel - Thou shalt buy ‘simple’ structured products only (RePEc:ris:jofitr:1409)
by Vanduffel, Steven - Beta-Adjusted Covariance Estimation (RePEc:rug:rugwps:21/1010)
by Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel - Rearrangement algorithm and maximum entropy (RePEc:spr:annopr:v:261:y:2018:i:1:d:10.1007_s10479-017-2612-2)
by Carole Bernard & Oleg Bondarenko & Steven Vanduffel - Block rearranging elements within matrix columns to minimize the variability of the row sums (RePEc:spr:aqjoor:v:16:y:2018:i:1:d:10.1007_s10288-017-0344-4)
by Kris Boudt & Edgars Jakobsons & Steven Vanduffel - On the construction of optimal payoffs (RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00272-9)
by L. Rüschendorf & Steven Vanduffel - Risk bounds for factor models (RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4)
by Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang - A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets (RePEc:taf:apmtfi:v:16:y:2009:i:4:p:315-330)
by Steven Vanduffel & Andrew Chernih & Matheusz Maj & Wim Schoutens - How robust is the value-at-risk of credit risk portfolios? (RePEc:taf:eurjfi:v:23:y:2017:i:6:p:507-534)
by Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Jing Yao - The variance implied conditional correlation (RePEc:taf:eurjfi:v:26:y:2020:i:2-3:p:200-222)
by Andres Algaba & Kris Boudt & Steven Vanduffel - Optimal portfolios under worst-case scenarios (RePEc:taf:quantf:v:14:y:2014:i:4:p:657-671)
by Carole Bernard & Jit Seng Chen & Steven Vanduffel - Optimal payoffs under state-dependent preferences (RePEc:taf:quantf:v:15:y:2015:i:7:p:1157-1173)
by Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel - Optimal portfolios under a correlation constraint (RePEc:taf:quantf:v:18:y:2018:i:3:p:333-345)
by C. Bernard & D. Cornilly & S. Vanduffel - When do two- or three-fund separation theorems hold? (RePEc:taf:quantf:v:21:y:2021:i:11:p:1869-1883)
by Carole Bernard & Corrado De Vecchi & Steven Vanduffel - The optimal payoff for a Yaari investor (RePEc:taf:quantf:v:22:y:2022:i:10:p:1839-1852)
by K. Boudt & K. Dragun & S. Vanduffel - Bounds for sums of random variables when the marginal distributions and the variance of the sum are given (RePEc:taf:sactxx:v:2013:y:2013:i:2:p:103-118)
by Ka Cheung & Steven Vanduffel - Reduction of Value-at-Risk bounds via independence and variance information (RePEc:taf:sactxx:v:2017:y:2017:i:3:p:245-266)
by Giovanni Puccetti & Ludger Rüschendorf & Daniel Small & Steven Vanduffel - The impact of correlation on (Range) Value-at-Risk (RePEc:taf:sactxx:v:2023:y:2023:i:6:p:531-564)
by Carole Bernard & Corrado De Vecchi & Steven Vanduffel - Optimal portfolio choice with benchmarks (RePEc:taf:tjorxx:v:70:y:2019:i:10:p:1600-1621)
by Carole Bernard & Rob H. De Staelen & Steven Vanduffel - “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 (RePEc:taf:uaajxx:v:14:y:2010:i:2:p:278-279)
by Steven Vanduffel - Improving the Design of Financial Products in a Multidimensional Black-Scholes Market (RePEc:taf:uaajxx:v:15:y:2011:i:1:p:77-96)
by Carole Bernard & Mateusz Maj & Steven Vanduffel - Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) (RePEc:taf:uaajxx:v:17:y:2013:i:1:p:98-100)
by S. Vanduffel & Jing Yao - Impact of Flexible Periodic Premiums on Variable Annuity Guarantees (RePEc:taf:uaajxx:v:21:y:2017:i:1:p:63-86)
by Carole Bernard & Zhenyu Cui & Steven Vanduffel - Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables (RePEc:taf:uaajxx:v:9:y:2005:i:4:p:71-82)
by Steven Vanduffel & Tom Hoedemakers & Jan Dhaene - Optimal portfolios under worst-case scenarios (RePEc:ulb:ulbeco:2013/257677)
by Carole Bernard & Jit Seng Chen & Steven Vanduffel - The variance implied conditional correlation (RePEc:ulb:ulbeco:2013/290161)
by Andres Algaba & Kris Boudt & Steven Vanduffel - Quantile of a Mixture with Application to Model Risk Assessment (RePEc:vrs:demode:v:3:y:2015:i:1:p:10:n:12)
by Bernard Carole & Vanduffel Steven - Stat Trek (RePEc:vrs:demode:v:4:y:2016:i:1:p:109-122:n:5)
by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven - Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio (RePEc:vrs:demode:v:4:y:2016:i:1:p:14:n:14)
by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven - The Vine Philosopher: An interview with Roger Cooke (RePEc:vrs:demode:v:5:y:2017:i:1:p:256-267:n:15)
by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven - My introduction to copulas: An interview with Roger Nelsen (RePEc:vrs:demode:v:5:y:2017:i:1:p:88-98:n:6)
by Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven - Closed‐form approximations for spread options in Lévy markets (RePEc:wly:apsmbi:v:35:y:2019:i:3:p:732-746)
by Jente Van Belle & Steven Vanduffel & Jing Yao - An Explicit Option-Based Strategy That Outperforms Dollar Cost Averaging (RePEc:wsi:ijtafx:v:15:y:2012:i:02:n:s0219024912500136)
by Steven Vanduffel & Ales Ahcan & Luc Henrard & Mateusz Maj - Optimal Portfolio Under State-Dependent Expected Utility (RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500139)
by Carole Bernard & Steven Vanduffel & Jiang Ye