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.
http://hdl.handle.net/2078.1/263695
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.
http://hdl.handle.net/2078.1/249987
3. 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
4. D'Hondt, Catherine; De Winne, Rudy; Todorovic, Aleksandar.
Target Returns and Negative Interest Rates. 2021. 29 p. LIDAM Discussion Paper LFIN 2021/11.
http://hdl.handle.net/2078.1/253623
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. 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.
http://hdl.handle.net/2078.1/254713
7. Candelon, Bertrand; Fuerst, Franz; Hasse, Jean-Baptiste.
Diversification Potential in Real Estate Portfolios. 2021. 27 p. LIDAM Discussion Paper LFIN 2021/01.
http://hdl.handle.net/2078.1/243938
8. DeMiguel, Victor; Lassance, Nathan; Vrins, Frédéric.
Optimal portfolio diversification via independent component analysis. 2021. 56 p. LIDAM Discussion Paper LFIN 2021/14.
http://hdl.handle.net/2078.1/256995
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.
http://hdl.handle.net/2078.1/229724
10. De Winne, Rudy.
Measuring the disposition effect. 2020. 44 p. LFIN Working Paper 2020/01.
http://hdl.handle.net/2078.1/227132
11. Lassance, Nathan; Vrins, Frédéric.
Minimum Rényi entropy portfolios. 2019. 33 p. CORE Discussion Paper 2019/01.
http://hdl.handle.net/2078.1/211168
12. Lassance, Nathan; Vrins, Frédéric.
Robust portfolio selection using sparse estimation of comoment tensors. 2019. 25 p. LFIN Working Paper 2020/03.
http://hdl.handle.net/2078.1/223396
13. Petitjean, Mikael.
Implicit transaction cost management using intraday price dynamics. 2018. 23 p. xxx xxx.
http://hdl.handle.net/2078.1/196937
14. Petitjean, Mikael.
What explains the success of reward-based crowdfunding campaigns as they unfold?. 2018. 8 p. xxx xxx.
http://hdl.handle.net/2078.1/196938
15. Profeta, Christophe; Vrins, Frédéric.
Piecewise constant martingales and lazy clocks. 2017. 18 p. CORE Discussion Paper 2017/31.
http://hdl.handle.net/2078.1/190145
