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OLC EcoSci
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Thou shalt buy 'simple' structured products only
Vanduffel, Steven
- In:
Journal / The Capco Institute : journal of financial …
28
(
2010
),
pp. 12-13
Persistent link: https://www.econbiz.de/10009895921
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2
Asset allocation with conditional value-at-risk budgets
Boudt, Kris
;
Carl, Peter
;
Peterson, Brian G
- In:
Journal of risk
15
(
2013
)
3
,
pp. 39-68
Persistent link: https://www.econbiz.de/10010104415
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3
The impact of a sustainability constraint on the mean-tracking error efficient frontier
Boudt, Kris
;
Cornelissen, Jonathan
;
Croux, Christophe
- In:
Economics letters
119
(
2013
)
3
,
pp. 255-260
Persistent link: https://www.econbiz.de/10010108383
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4
Market risk - Component VAR for a non-normal world - It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. The authors present a method for decomposing the VAR of a non-normal portfolio into the component risks of each position in a coherent ...
Peterson, Brian
;
Boudt, Kris
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
11
,
pp. 78-81
Persistent link: https://www.econbiz.de/10008148068
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5
Robust forecasting of dynamic conditional correlation GARCH models
Boudt, Kris
;
Daníelsson, Jón
;
Laurent, Sébastien
- In:
International journal of forecasting
29
(
2013
)
2
,
pp. 244-257
Persistent link: https://www.econbiz.de/10010087831
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6
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 353-368
Persistent link: https://www.econbiz.de/10008849033
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7
Analytic bounds and approximations for annuities and Asian options
Vanduffel, Steven
;
Shang, Zhaoning
;
Henrard, Luc
; …
- In:
Insurance / Mathematics & economics
42
(
2008
)
3
,
pp. 1109-1117
Persistent link: https://www.econbiz.de/10008057641
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8
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
Cheung, Ka Chun
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal : Actuarial Society of …
2013
(
2013
)
2
,
pp. 103-118
Persistent link: https://www.econbiz.de/10010094871
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9
A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
Vanduffel, Steven
;
Chernih, Andrew
;
Maj, Matheusz
; …
- In:
Applied mathematical finance
16
(
2009
)
4
,
pp. 315-330
Persistent link: https://www.econbiz.de/10008314734
Saved in:
10
Correlation order, merging and diversification
Dhaene, Jan
;
Denuit, Michel
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
45
(
2009
)
3
,
pp. 325-332
Persistent link: https://www.econbiz.de/10008332294
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