Recent Discussion Papers

LFIN Discussion Papers 2021


2021 / 13
Nathan Lassance
Maximizing the Out-of-Sample Sharpe Ratio

2021 / 12
Donovan Herr, Emilien Clausse, Frédéric Vrins
Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?

2021 / 11
Catherine D’Hondt, Rudy De Winne, Aleksandar Todorovic
Target Returns and Negative Interest Rates

2021 / 10
Malo Beguin
Harmonization, Mutual Recognition or National Treatment: a Melitz approach

2021 / 09
Matteo Barbagli, Frédéric Vrins
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default

2021 / 08
Catherine D’Hondt, Younes Elhichou Elmaya, Mikael Petitjean
Blaming or praising passive ETFs?

2021 / 07
Bertrand Candelon, Rubens Moura
A Multicountry Model of the Term Structures of Interest Rates with a GVAR

2021 / 06
Frédéric Vrins, Linqi Wang
Asymmetric short-rate model without lower bound

2021 / 05
Nathan Lassance, Frédéric Vrins
Portfolio Selection: A Target-Distribution Approach

2021 / 04
Andrii Babii, Eric Ghysels, Jonas Striaukas
Machine Learning Time Series Regressions With an Application to Nowcasting

2021 / 03
Catherine D’Hondt, Rudy De Winne, Maxime Merli
Do retail investors bite off more than they can chew? A close look at their return objectives

2021 / 02
Bruno De Backer, Hans Dewachter, Leonardo Iania
Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?

2021 / 01
Bertrand Candelon, Franz Fuerst, Jean-Baptiste Hasse
Diversification Potential in Real Estate Portfolios