IDAM
Voie du Roman Pays 34/L1.03.01
1348 Louvain-la-Neuve
Professeur
IDAM
Voie du Roman Pays 34/L1.03.01
1348 Louvain-la-Neuve
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.
| 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.
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).
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.
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.
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.
Lassance, Nathan ; Martín-Utrera, Alberto ; Simaan, Majeed. The Risk of Expected Utility under Parameter Uncertainty. In: Management Science, (2023) (Accepté/Sous presse).
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.
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.
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.
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.
Lassance, Nathan. Information-theoretic approaches to portfolio selection, prom. : Vrins, Frédéric, 24/01/2020.