Working Papers

1. Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric. On the optimal combination of naive and mean-variance portfolio strategies. 2022. 86 p. LIDAM Discussion Paper LFIN 2022/06.

2. D'Hondt, Catherine; El Hichou El Maya, Younes; Petitjean, Mikael. Blaming or praising passive ETFs?. 2021. 31 p. LIDAM Discussion Paper LFIN 2021/08.

3. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. 2021. 52 p. LIDAM Discussion Paper LFIN 2021/05.

4. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar. Target Returns and Negative Interest Rates. 2021. 29 p. LIDAM Discussion Paper LFIN 2021/11.

5. Lassance, Nathan. Maximizing the Out-of-Sample Sharpe Ratio. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/13.

6. Herr, Donovan; Clausse, Emilien; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. 2021. 24 p. LIDAM Discussion Paper LFIN 2021/12.

7. Candelon, Bertrand; Fuerst, Franz; Hasse, Jean-Baptiste. Diversification Potential in Real Estate Portfolios. 2021. 27 p. LIDAM Discussion Paper LFIN 2021/01.

8. DeMiguel, Victor; Lassance, Nathan; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. 2021. 56 p. LIDAM Discussion Paper LFIN 2021/14.

9. Argyropoulos, Christos; Candelon, Bertrand; Hasse, Jean-Baptiste; Panopoulou, Ekaterini. Toward a macroprudential regulatory framework for mutual funds. 2020. 39 p. LFIN Working Paper 2020/08.

10. De Winne, Rudy. Measuring the disposition effect. 2020. 44 p. LFIN Working Paper 2020/01.

11. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. 2019. 33 p. CORE Discussion Paper 2019/01.

12. Lassance, Nathan; Vrins, Frédéric. Robust portfolio selection using sparse estimation of comoment tensors. 2019. 25 p. LFIN Working Paper 2020/03.

13. Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics. 2018. 23 p. xxx xxx.

14. Petitjean, Mikael. What explains the success of reward-based crowdfunding campaigns as they unfold?. 2018. 8 p. xxx xxx.

15. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. 2017. 18 p. CORE Discussion Paper 2017/31.