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Investment


Journal Articles


1. De Bondt, Werner; De Winne, Rudy; D'Hondt, Catherine. Measuring speculation beyond day trading and bets on lottery-like stocks. In: International Review of Financial Analysis, Vol. 96, no.A, p. 103632 (2024). doi:10.1016/j.irfa.2024.103632. http://hdl.handle.net/2078.1/292475

2. Lassance, Nathan; Vanderveken, Rodolphe; Vrins, Frédéric. On the Combination of Naive and Mean-Variance Portfolio Strategies. In: Journal of Business and Economic Statistics, Vol. 42, no. 3, p. 875-889 (2024). http://hdl.handle.net/2078.1/277691

3. Kan, Raymond; Lassance, Nathan; Wang, Xiaolu. The distribution of sample mean-variance portfolio weights. In: Random Matrices: Theory and Applications, Vol. 13, no. 1, p. 2450002 (2024). doi:10.1142/S2010326324500023. http://hdl.handle.net/2078.1/281110

4. 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

5. 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

6. 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

7. 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

8. 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

9. 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

10. 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

11. 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

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. 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. http://hdl.handle.net/2078.1/245900

15. D'Hondt, Catherine; McGowan, Richard; Roger, Patrick. Trading leveraged Exchange-Traded products is hazardous to your wealth. In: The Quarterly Review of Economics and Finance, Vol. 80, p. 287-302 (2021). doi:10.1016/j.qref.2021.02.012. http://hdl.handle.net/2078.1/245221

16. Lassance, Nathan; Vrins, Frédéric. Portfolio selection with parsimonious higher comoments estimation. In: Journal of Banking and Finance, Vol. 126, p. 106115 (2021). doi:10.1016/j.jbankfin.2021.106115. http://hdl.handle.net/2078.1/293652

17. 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

18. Mazza, Paolo; Petitjean, Mikael. Testing the effect of technical analysis on market quality and order book dynamics. In: Applied Economics, Vol. 51, no.18, p. 1947-1976 (2019). doi:10.1080/00036846.2018.1529404. http://hdl.handle.net/2078.1/212373

19. Mazza, Paolo; Petitjean, Mikael. Implicit transaction cost management using intraday price dynamics. In: Applied Economics, Vol. 50, no. 39, p. 4264-4274 (2018). doi:10.1080/00036846.2018.1441523. http://hdl.handle.net/2078.1/203431

20. Petitjean, Mikael. What explains the success of reward-based crowdfunding campaigns as they unfold? Evidence from the French crowdfunding platform KissKissBankBank. In: Finance Research Letters, Vol. 26, p. 9-14 (2018). doi:10.1016/j.frl.2017.11.005. http://hdl.handle.net/2078.1/203432

21. Vrins, Frédéric; Petitjean, Mikael. Extreme events and the cumulative distribution of net gains in gambling and structured products. In: Applied Economics, Vol. 50, no. 58, p. 6285-6300 (2018). doi:10.1080/00036846.2018.1489514. http://hdl.handle.net/2078.1/199211

22. Petitjean, Mikael. Les sept familles de l'ISR. In: B NQ Quarterly, Vol. 2015, no. Octobre, p. 26 (2015). http://hdl.handle.net/2078.1/166382

23. Godart, Camille; Petitjean, Mikael. De la médiocrité des conseils d’investissement de Test-Achats invest sur actions individuelles. In: Brussels Economic Review, Vol. 57, no. 3, p. 1-28 (2014). http://hdl.handle.net/2078.1/166322

24. Petitjean, Mikael. Testing the profitability of contrarian trading strategies based on the overreaction hypothesis. In: Bankers, Markets & Investors, Vol. 2014, no.133, p. 4-10 (Nov-Dec 2014). http://hdl.handle.net/2078.1/152863

25. Caliman, Thibaut; D'Hondt, Catherine; Petitjean, Mikael. Determining an optimal multiplier in dynamic core-satellite strategies. In: The Journal of Asset Management, Vol. 14, no.4, p. 210-227 (2013). doi:10.1057/jam.2013.16. http://hdl.handle.net/2078.1/141841