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Investment


Journal Articles


1. Kan, Raymond; Lassance, Nathan; Wang, Xiaolu. The distribution of sample mean-variance portfolio weights. In: Random Matrices: Theory and Applications, (2024). (Accepté/Sous presse). http://hdl.handle.net/2078.1/281110

2. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. In: European Journal of Operational Research, Vol. 310, no. 1, p. 302-314 (2023). doi:10.1016/j.ejor.2023.02.014. http://hdl.handle.net/2078.1/272598

3. Lassance, Nathan; Martín-Utrera, Alberto; Simaan, Majeed. The Risk of Expected Utility under Parameter Uncertainty. In: Management Science, (2023). (Accepté/Sous presse). http://hdl.handle.net/2078.1/277406

4. Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric. On the Combination of Naive and Mean-Variance Portfolio Strategies. In: Journal of Business and Economic Statistics, (2023). (Accepté/Sous presse). http://hdl.handle.net/2078.1/277691

5. Lassance, Nathan; Vrins, Frédéric; DeMiguel, Victor. Optimal portfolio diversification via independent component analysis. In: Operations Research, Vol. 70, no. 1, p. 55-72 (2022). doi:10.1287/opre.2021.2140. http://hdl.handle.net/2078.1/248130

6. Lassance, Nathan. Reconciling mean-variance portfolio theory with non-Gaussian returns. In: European Journal of Operational Research, Vol. 297, no. 2, p. 729-740 (2022). doi:10.1016/j.ejor.2021.06.016. http://hdl.handle.net/2078.1/248132

7. D'Hondt, Catherine; Merli, Maxime; Roger, Tristan. What drives retail portfolio exposure to ESG factors?. In: Finance Research Letters, Vol. 46, no. Part B, p. 102470 (2022). doi:10.1016/j.frl.2021.102470. http://hdl.handle.net/2078.1/251463

8. 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

9. De Winne, Rudy. Measuring the disposition effect. In: Journal of Behavioral and Experimental Finance, Vol. 29, no. 100468 (2021). doi:10.1016/j.jbef.2021.100468. http://hdl.handle.net/2078.1/243964

10. Candelon, Bertrand; Fuerst, Franz; Hasse, Jean-Baptiste. Diversification potential in real estate portfolios. In: International Economics, Vol. 166, p. 126-139 (2021). doi:10.1016/j.inteco.2021.04.001. http://hdl.handle.net/2078.1/245986

11. Efendic, Emir; Corneille, Olivier; D'Hondt, Catherine; De Winne, Rudy. How risk-prone are people when facing a sure loss? Negative interest rates as a convenient conceptual framework. In: Psychonomic Bulletin & Review, Vol. 28, p. 1715–1725 (2021). doi:10.3758/s13423-021-01921-0 (Accepté/Sous presse). http://hdl.handle.net/2078.1/245900

12. D'Hondt, Catherine; De Winne, Rudy; Merli, Maxime. Do retail investors bite off more than they can chew? A close look at their return objectives. In: Journal of Economic Behavior & Organization, Vol. 188, p. 879-902 (2021). doi:10.1016/j.jebo.2021.06.009. http://hdl.handle.net/2078.1/248798

13. Herr, Donovan; Clausse, Emilien; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. In: Revue Bancaire et Financière, Vol. 3, p. 138-148 (2021). http://hdl.handle.net/2078.1/254715

14. D'Hondt, Catherine; De Winne, Rudy; Ghysels, Eric; Raymond, Steve. Artificial Intelligence Alter Egos: Who might benefit from robo-investing?. In: Journal of Empirical Finance, Vol. 59, p. 278-299 (2020). doi:10.1016/j.jempfin.2020.10.002. http://hdl.handle.net/2078.1/238318