Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven Corrigendum and addendum to: “Range value-at-risk bounds for unimodal distributions under partial information”. (English) Zbl 1521.91391 Insur. Math. Econ. 112, 110-119 (2023). MSC: 91G70 PDFBibTeX XMLCite \textit{C. Bernard} et al., Insur. Math. Econ. 112, 110--119 (2023; Zbl 1521.91391) Full Text: DOI
Bernard, Carole; De Vecchi, Corrado; Vanduffel, Steven The impact of correlation on (range) value-at-risk. (English) Zbl 1520.91434 Scand. Actuar. J. 2023, No. 6, 531-564 (2023). MSC: 91G70 PDFBibTeX XMLCite \textit{C. Bernard} et al., Scand. Actuar. J. 2023, No. 6, 531--564 (2023; Zbl 1520.91434) Full Text: DOI
Bernard, C.; De Gennaro Aquino, L.; Vanduffel, S. Optimal multivariate financial decision making. (English) Zbl 07705826 Eur. J. Oper. Res. 307, No. 1, 468-483 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{C. Bernard} et al., Eur. J. Oper. Res. 307, No. 1, 468--483 (2023; Zbl 07705826) Full Text: DOI
Boudt, K.; Dragun, K.; Vanduffel, S. The optimal payoff for a Yaari investor. (English) Zbl 1500.91119 Quant. Finance 22, No. 10, 1839-1852 (2022). MSC: 91G10 91B06 PDFBibTeX XMLCite \textit{K. Boudt} et al., Quant. Finance 22, No. 10, 1839--1852 (2022; Zbl 1500.91119) Full Text: DOI
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven A model-free approach to multivariate option pricing. (English) Zbl 1470.91270 Rev. Deriv. Res. 24, No. 2, 135-155 (2021). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{C. Bernard} et al., Rev. Deriv. Res. 24, No. 2, 135--155 (2021; Zbl 1470.91270) Full Text: DOI
Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven Range value-at-risk bounds for unimodal distributions under partial information. (English) Zbl 1452.91330 Insur. Math. Econ. 94, 9-24 (2020); corrigendum and addendum ibid. 112, 110-119 (2023). MSC: 91G70 PDFBibTeX XMLCite \textit{C. Bernard} et al., Insur. Math. Econ. 94, 9--24 (2020; Zbl 1452.91330) Full Text: DOI
Tuitman, Jan; Vanduffel, Steven; Yao, Jing Correlation matrices with average constraints. (English) Zbl 1450.62058 Stat. Probab. Lett. 165, Article ID 108868, 7 p. (2020). MSC: 62H20 62G35 PDFBibTeX XMLCite \textit{J. Tuitman} et al., Stat. Probab. Lett. 165, Article ID 108868, 7 p. (2020; Zbl 1450.62058) Full Text: DOI
Rüschendorf, L.; Vanduffel, Steven On the construction of optimal payoffs. (English) Zbl 1444.91201 Decis. Econ. Finance 43, No. 1, 129-153 (2020). MSC: 91G10 91B24 91B16 PDFBibTeX XMLCite \textit{L. Rüschendorf} and \textit{S. Vanduffel}, Decis. Econ. Finance 43, No. 1, 129--153 (2020; Zbl 1444.91201) Full Text: DOI
Bernard, Carole; Vanduffel, Steven; Ye, Jiang A new efficiency test for ranking investments: application to hedge fund performance. (English) Zbl 1418.91452 Econ. Lett. 181, 203-207 (2019). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{C. Bernard} et al., Econ. Lett. 181, 203--207 (2019; Zbl 1418.91452) Full Text: DOI
Cornilly, Dries; Vanduffel, Steven Equivalent distortion risk measures on moment spaces. (English) Zbl 1450.62131 Stat. Probab. Lett. 146, 187-192 (2019). MSC: 62P05 62H20 91B05 91G70 PDFBibTeX XMLCite \textit{D. Cornilly} and \textit{S. Vanduffel}, Stat. Probab. Lett. 146, 187--192 (2019; Zbl 1450.62131) Full Text: DOI
Bernard, Carole; Vanduffel, Steven; Ye, Jiang Optimal strategies under omega ratio. (English) Zbl 1431.91353 Eur. J. Oper. Res. 275, No. 2, 755-767 (2019). MSC: 91G10 90C15 90C90 PDFBibTeX XMLCite \textit{C. Bernard} et al., Eur. J. Oper. Res. 275, No. 2, 755--767 (2019; Zbl 1431.91353) Full Text: DOI
Cornilly, D.; Rüschendorf, L.; Vanduffel, Steven Upper bounds for strictly concave distortion risk measures on moment spaces. (English) Zbl 1416.91167 Insur. Math. Econ. 82, 141-151 (2018). MSC: 91B30 91G70 62P05 PDFBibTeX XMLCite \textit{D. Cornilly} et al., Insur. Math. Econ. 82, 141--151 (2018; Zbl 1416.91167) Full Text: DOI
Bernard, Carole; Vanduffel, Steven; Ye, Jiang Optimal portfolio under state-dependent expected utility. (English) Zbl 1398.91504 Int. J. Theor. Appl. Finance 21, No. 3, Article ID 1850013, 22 p. (2018). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{C. Bernard} et al., Int. J. Theor. Appl. Finance 21, No. 3, Article ID 1850013, 22 p. (2018; Zbl 1398.91504) Full Text: DOI
Boudt, Kris; Jakobsons, Edgars; Vanduffel, Steven Block rearranging elements within matrix columns to minimize the variability of the row sums. (English) Zbl 1384.90041 4OR 16, No. 1, 31-50 (2018). MSC: 90B35 90B90 90C27 90C59 PDFBibTeX XMLCite \textit{K. Boudt} et al., 4OR 16, No. 1, 31--50 (2018; Zbl 1384.90041) Full Text: DOI Link
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven Rearrangement algorithm and maximum entropy. (English) Zbl 1404.91135 Ann. Oper. Res. 261, No. 1-2, 107-134 (2018). MSC: 91B30 60E05 62P05 PDFBibTeX XMLCite \textit{C. Bernard} et al., Ann. Oper. Res. 261, No. 1--2, 107--134 (2018; Zbl 1404.91135) Full Text: DOI
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven Impact of flexible periodic premiums on variable annuity guarantees. (English) Zbl 1414.91165 N. Am. Actuar. J. 21, No. 1, 63-86 (2017). MSC: 91B30 PDFBibTeX XMLCite \textit{C. Bernard} et al., N. Am. Actuar. J. 21, No. 1, 63--86 (2017; Zbl 1414.91165) Full Text: DOI
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven Reduction of value-at-risk bounds via independence and variance information. (English) Zbl 1401.91185 Scand. Actuar. J. 2017, No. 3, 245-266 (2017). MSC: 91B30 60E15 60E05 PDFBibTeX XMLCite \textit{G. Puccetti} et al., Scand. Actuar. J. 2017, No. 3, 245--266 (2017; Zbl 1401.91185) Full Text: DOI
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu Risk bounds for factor models. (English) Zbl 1443.91338 Finance Stoch. 21, No. 3, 631-659 (2017). MSC: 91G70 91G10 PDFBibTeX XMLCite \textit{C. Bernard} et al., Finance Stoch. 21, No. 3, 631--659 (2017; Zbl 1443.91338) Full Text: DOI
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven Rationalizing investors’ choices. (English) Zbl 1320.91132 J. Math. Econ. 59, 10-23 (2015). MSC: 91G10 PDFBibTeX XMLCite \textit{C. Bernard} et al., J. Math. Econ. 59, 10--23 (2015; Zbl 1320.91132) Full Text: DOI arXiv
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven Optimal claims with fixed payoff structure. (English) Zbl 1331.91156 J. Appl. Probab. 51A, Spec. Vol., 175-188 (2014). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{C. Bernard} et al., J. Appl. Probab. 51A, 175--188 (2014; Zbl 1331.91156) Full Text: DOI Euclid
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven Optimal portfolios under worst-case scenarios. (English) Zbl 1308.91136 Quant. Finance 14, No. 4, 657-671 (2014). MSC: 91G10 60H30 62P05 PDFBibTeX XMLCite \textit{C. Bernard} et al., Quant. Finance 14, No. 4, 657--671 (2014; Zbl 1308.91136) Full Text: DOI
Bernard, C.; Vanduffel, S. Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection. (English) Zbl 1304.91181 Eur. J. Oper. Res. 234, No. 2, 469-480 (2014). MSC: 91G10 PDFBibTeX XMLCite \textit{C. Bernard} and \textit{S. Vanduffel}, Eur. J. Oper. Res. 234, No. 2, 469--480 (2014; Zbl 1304.91181) Full Text: DOI
Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz An explicit option-based strategy that outperforms dollar cost averaging. (English) Zbl 1282.91349 Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250013, 19 p. (2012). MSC: 91G20 PDFBibTeX XMLCite \textit{S. Vanduffel} et al., Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250013, 19 p. (2012; Zbl 1282.91349) Full Text: DOI
Bernard, Carole; Maj, Mateusz; Vanduffel, Steven Improving the design of financial products in a multidimensional Black-Scholes market. (English) Zbl 1213.91135 N. Am. Actuar. J. 15, No. 1, 77-96 (2011). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{C. Bernard} et al., N. Am. Actuar. J. 15, No. 1, 77--96 (2011; Zbl 1213.91135) Full Text: DOI