Nathan Lassance

Professeur

SSH/LSM -- Louvain School of Management

SSH/IDAM -- Louvain Institute of Data Analysis and Modeling in economics and statistics (IDAM)

SSH/IDAM/LFIN -- Louvain Finance

Adresse postale

IDAM
Voie du Roman Pays 34/L1.03.01
1348 Louvain-la-Neuve

Courriel

nathan.lassance@uclouvain.be

LFIN

Secrétariat

+32 65 32 33 27

LSM

N° tél.

+32 65 32 33 84

Secrétariat

+32 65 32 33 27

Personal website: https://sites.google.com/view/nathanlassance/accueil

ResearchGate: https://www.researchgate.net/profile/Nathan-Lassance

Les cours

Nom	ID
Big data in finance	LLSMS2138
Finance d'entreprise	MGEHC2134
Finance d'entreprise	MGEHD2134
Institutional Investors	MLSMM2126

JournalArticle

2023

Lassance, Nathan. An Analytical Shrinkage Estimator for Linear Regression. In: Statistics & Probability Letters, Vol. 194, p. 109760 (2023). doi:10.1016/j.spl.2022.109760.

http://hdl.handle.net/2078.1/268417

2023

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

2023

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

2023

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

2022

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

2022

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

2021

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

2021

Lassance, Nathan ; Vrins, Frédéric. Portfolio selection with parsimonious higher comoments estimation. In: Journal of Banking & Finance, Vol. 126, no. 9, p. 106-115 (2021). doi:10.1016/j.jbankfin.2021.106115.

http://hdl.handle.net/2078.1/245229

2018

Lassance, Nathan ; Vrins, Frédéric. A Comparison of Pricing and Hedging Performances of Equity Derivatives Models. In: Applied Economics, Vol. 50, no. 10, p. 1122-1137 (2018). doi:10.1080/00036846.2017.1352080.

http://hdl.handle.net/2078.1/186376

Dissertation

2020

Lassance, Nathan. Information-theoretic approaches to portfolio selection, prom. : Vrins, Frédéric, 24/01/2020.

http://hdl.handle.net/2078.1/242888