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Range value-at-risk bounds for unimodal distributions under partial information

Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24

Persistent link: https://www.econbiz.de/10012419085

A new approach to assessing model risk in high dimensions

Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178

Persistent link: https://www.econbiz.de/10011543968

How robust is the value-at-risk of credit risk portfolios?

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: The European journal of finance 23 (2017) 4/6, pp. 507-534

Persistent link: https://www.econbiz.de/10011736292

Value-at-risk bounds with variance constraints

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 923-959

Persistent link: https://www.econbiz.de/10011749149

Mean-variannce optimal portfolios in the presence of a benchmark with applications to fraud detection

Bernard, C.; Vanduffel, Steven - In: European journal of operational research : EJOR 234 (2014) 2, pp. 469-480

Persistent link: https://www.econbiz.de/10010356721

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified. First, we summarize methods for obtaining bounds when only the marginal distributions of the components are known, but not their...

Persistent link: https://www.econbiz.de/10011402861

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - In: The journal of risk and insurance : the journal of the … 72 (2005) 2, pp. 253-300

Persistent link: https://www.econbiz.de/10002968418

Rationalizing investors' choices

Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven - In: Journal of mathematical economics 59 (2015), pp. 10-23

Persistent link: https://www.econbiz.de/10011573437

Risk bounds for factor models

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659

Persistent link: https://www.econbiz.de/10011944414

Upper bounds for strictly concave distortion risk measures on moment spaces

Cornilly, D.; Rüschendorf, Ludger; Vanduffel, Steven - In: Insurance / Mathematics & economics 82 (2018), pp. 141-151

Persistent link: https://www.econbiz.de/10011929851