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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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Which measures predict risk taking in a multi-stage controlled investment decision process?
Bachmann, Kremena; Hens, Thorsten; Stössel, Remo - In: Financial services review : the journal of individual … 26 (2017) 4, pp. 339-365
Persistent link: https://www.econbiz.de/10011941315
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Asset risk management of participating contracts
Bernard, Carole; Le Courtois, Olivier - In: Asia-Pacific journal of risk and insurance : APJRI 6 (2012) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10010126513
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Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
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Impact of systemic risk regulation on optimal policies and asset prices
Bernard, Carole; Cui, Xuecan - In: Journal of banking & finance 154 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014491945
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Optimal strategies under Omega ratio
Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: European journal of operational research : EJOR 275 (2019) 2, pp. 755-767
Persistent link: https://www.econbiz.de/10011993573
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A new efficiency test for ranking investments : application to hedge fund performance
Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: Economics letters 181 (2019), pp. 203-207
Persistent link: https://www.econbiz.de/10012121794
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Optimal portfolio choice with benchmarks
Bernard, Carole; De Staelen, Rob H.; Vanduffel, Steven - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1600-1621
Persistent link: https://www.econbiz.de/10012214351
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Value-at-risk bounds with variance constraints
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 923-959
Persistent link: https://www.econbiz.de/10011749149