Working Papers
1. Cai, Zhaokun; Cui, Zhenyu; Lassance, Nathan; Simaan, Majeed.
The Economic Value of Mean Squared Error: Evidence from Portfolio Selection. 2024. 35 p. LIDAM Discussion Paper LFIN 2024/03.
http://hdl.handle.net/2078.1/288346
2. Germain, Arnaud; Vrins, Frédéric.
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering. 2024. 41 p. LIDAM Discussion Paper LFIN 2024/06.
http://hdl.handle.net/2078.1/292398
3. Mbaye, Cheikh; Sagna, Abass; Vrins, Frédéric.
A general firm-value model under partial information. 2022. 27 p. LIDAM Discussion Paper LFIN 2022/09.
http://hdl.handle.net/2078.1/264657
4. Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro.
A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management. 2022. 38 p. LIDAM Discussion Paper LFIN 2022/11.
http://hdl.handle.net/2078.1/267774
5. Lassance, Nathan.
Maximizing the Out-of-Sample Sharpe Ratio. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/13.
http://hdl.handle.net/2078.1/255449
6. Lassance, Nathan; Vrins, Frédéric.
Portfolio Selection: A Target-Distribution Approach. 2021. 52 p. LIDAM Discussion Paper LFIN 2021/05.
http://hdl.handle.net/2078.1/249982
7. Vrins, Frédéric; Wang, Linqi.
Asymmetric short-rate model without lower bound. 2021. 36 p. LIDAM Discussion Paper LFIN 2021/06.
http://hdl.handle.net/2078.1/249984
8. Mbaye, Cheikh; Vrins, Frédéric.
Affine term-structure models: A time-changed approach with perfect fit to market curves. 2019. 55 p. LFIN Working Papers 2019/5.
http://hdl.handle.net/2078.1/221793
9. Agrell, Per Joakim; Brea Solís, Humberto.
Stationarity of heterogeneity in production technology using latent class modelling. 2015. 21 p. CORE Discussion Paper 2015/47.
http://hdl.handle.net/2078.1/166436
