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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

Explicit representation of cost-efficient strategies

Bernard, Carole; Boyle, Phelim P.; Vanduffel, Steven - In: Finance : revue de l'Association Française de Finance 35 (2014) 2, pp. 5-55

Persistent link: https://www.econbiz.de/10010421553

Correlation order, merging and diversification

Dhaene, Jan; Denuit, Michel; Vanduffel, Steven - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 325-332

Persistent link: https://www.econbiz.de/10009517561

Bounds and approximations for sums of dependent log-elliptical random variables

Valdez, Emiliano; Dhaene, Jan; Maj, Mateusz; Vanduffel, … - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 385-397

Persistent link: https://www.econbiz.de/10009517625

Optimal capital allocation principles

Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano; … - In: The journal of risk and insurance : the journal of the … 79 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10009517734

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