| Optimal portfolio diversification via independent component analysis N Lassance, V DeMiguel, F Vrins Operations Research 70 (1), 55-72, 2022 | 45 | 2022 |
| Minimum rényi entropy portfolios N Lassance, F Vrins Annals of Operations Research 299 (1), 23-46, 2021 | 32 | 2021 |
| Portfolio selection with parsimonious higher comoments estimation N Lassance, F Vrins Journal of Banking & Finance 126 (9), 106-115, 2021 | 27* | 2021 |
| Portfolio selection: A target-distribution approach N Lassance, F Vrins European Journal of Operational Research 310 (1), 302-314, 2023 | 13* | 2023 |
| The risk of expected utility under parameter uncertainty N Lassance, A Martin-Utrera, M Simaan Management Science, forthcoming, 2023 | 11* | 2023 |
| A comparison of pricing and hedging performances of equity derivatives models N Lassance, F Vrins Applied Economics 50 (10), 1122-1137, 2018 | 10 | 2018 |
| On the combination of naive and mean-variance portfolio strategies N Lassance, R Vanderveken, F Vrins Journal of Business & Economic Statistics, forthcoming, 2023 | 8* | 2023 |
| Reconciling mean-variance portfolio theory with non-Gaussian returns N Lassance European Journal of Operational Research 297 (2), 729-740, 2021 | 8 | 2021 |
| Information-theoretic approaches to portfolio selection N Lassance Louvain School of Management Doctoral Thesis, 2019 | 8 | 2019 |
| Maximizing the out-of-sample Sharpe ratio N Lassance Available at SSRN 3959708, 2022 | 7 | 2022 |
| Do limits to arbitrage explain portfolio gains from asset mispricing? N Lassance, A Martin-Utrera Available at SSRN 4760599, 2024 | 5* | 2024 |
| Optimal portfolio choice with fat tails and parameter uncertainty R Kan, N Lassance Available at SSRN 4652814, 2023 | 2 | 2023 |
| The distribution of sample mean-variance portfolio weights R Kan, N Lassance, X Wang Random Matrices: Theory and Applications, forthcoming, 2023 | 2 | 2023 |
| An analytical shrinkage estimator for linear regression N Lassance Statistics & Probability Letters 194, 2023 | 1 | 2023 |
Frédéric VrinsLFIN/LIDAM, UCLouvainVerified email at uclouvain.be
