Nathan Lassance
Université Catholique de Louvain
H-index: 7
Europe-Belgium
Top articles of Nathan Lassance
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Do limits to arbitrage explain portfolio gains from asset mispricing? | Available at SSRN 4760599 | Nathan Lassance Alberto Martin-Utrera | 2024 |
The risk of expected utility under parameter uncertainty | Management Science, forthcoming | Nathan Lassance Alberto Martin-Utrera Majeed Simaan | 2023 |
An analytical shrinkage estimator for linear regression | Statistics & Probability Letters | Nathan Lassance | 2023 |
Optimal portfolio choice with fat tails and parameter uncertainty | Available at SSRN 4652814 | Raymond Kan Nathan Lassance | 2023 |
Portfolio selection: A target-distribution approach | European Journal of Operational Research | Nathan Lassance Frédéric Vrins | 2023/10/1 |
The distribution of sample mean-variance portfolio weights | Random Matrices: Theory and Applications | Xiaolu Wang Nathan Lassance Raymond Kan | 2024 |
On the combination of naive and mean-variance portfolio strategies | Journal of Business & Economic Statistics | Nathan Lassance Rodolphe Vanderveken Frédéric Vrins | 2023/10/13 |
Maximizing the out-of-sample Sharpe ratio | Available at SSRN 3959708 | Nathan Lassance | 2022/3/2 |
Optimal portfolio diversification via independent component analysis | Operations Research | Nathan Lassance Victor DeMiguel Frédéric Vrins | 2022/1 |
Minimum rényi entropy portfolios | Annals of Operations Research | Nathan Lassance Frédéric Vrins | 2021 |
Portfolio selection with parsimonious higher comoments estimation | Journal of Banking & Finance | Nathan Lassance Frédéric Vrins | 2021/5/1 |
Reconciling mean-variance portfolio theory with non-Gaussian returns | European Journal of Operational Research | Nathan Lassance | 2021 |
Co-Authors
