IDAM
Voie du Roman Pays 34/L1.03.01
1348 Louvain-la-Neuve
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- Nathan Lassance
Nathan Lassance
Professeur
I am an associate professor of finance at UCLouvain (Belgium). I am attached to the Louvain School of Management (LSM) for my teaching and to the Louvain Finance (LFIN) research center within the Louvain Institute of Data Analysis and Modeling (LIDAM) for my research. I hold a PhD in Economics and Management Science from UCLouvain (2020). My main research interest is the impact of parameter uncertainty on decision models and its applications in, e.g., portfolio selection, linear regression, and forecast combination. My work has been published in top journals including Management Science, Operations Research, Journal of Business & Economic Statistics, European Journal of Operational Research, and Journal of Banking & Finance. See my personal website at https://sites.google.com/view/nathanlassance.
- Diplômes
Année Label Institution 2014 Bachelier en ingénieur de gestion Université catholique de Louvain 2016 Master en ingénieur de gestion, à finalité spécialisée Université catholique de Louvain 2020 DOCTORAT EN SCIENCES ECONOMIQUES ET DE GESTION Université catholique de Louvain
My main research interest is the impact of parameter uncertainty on decision models and its application in, e.g., portfolio selection, linear regression, and forecast combination.
- Personal website: https://sites.google.com/view/nathanlassance
- Google Scholar: https://scholar.google.com/citations?user=mo_8
- ResearchGate: https://researchgate.net/profile/Nathan-Lassance
2024
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).
2024
Kan, Raymond ; Lassance, Nathan. Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty. In: Journal of Financial and Quantitative Analysis, (2024) (Accepté/Sous presse).
2024
Lassance, Nathan ; Martín-Utrera, Alberto ; Simaan, Majeed. The Risk of Expected Utility under Parameter Uncertainty. In: Management Science, Vol. 70, no. 11, p. 7644-7663 (2024).
2024
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.
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.
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.
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.
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.
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.
2021
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.
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.
2020
Lassance, Nathan. Information-theoretic approaches to portfolio selection, prom. : Vrins, Frédéric, 24/01/2020.