Finance


Journal Articles


1. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, Vol. 299, p. 23–46 (2021). doi:10.1007/s10479-019-03364-2. http://hdl.handle.net/2078.1/218951

2. Brigo, Damiano; Vrins, Frédéric; Jeanblanc, Monique. SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions. In: Stochastic Processes and Their Applications, Vol. 130, no. 7, p. 3895-3919 (2020). doi:10.1016/j.spa.2019.11.003. http://hdl.handle.net/2078.1/223398

3. Iania, Leonardo; Allard, Anne-Florence; Smedts, Kristien. Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach  . In: International Review of Financial Analysis, Vol. 71, p. 101557 (2020). doi:10.1016/j.irfa.2020.101557. http://hdl.handle.net/2078.1/231044