Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Nathan Lassance"'
Publikováno v:
Operations Research, Vol. 70, no. 1, p. 55-72 (2022)
A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk measure, and th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::54593c16dca78bcdf4ef143f752ead0b
https://doi.org/10.1287/opre.2021.2140
https://doi.org/10.1287/opre.2021.2140
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0b97410130a54c80038ff8801221a9cc
https://doi.org/10.2139/ssrn.4425647
https://doi.org/10.2139/ssrn.4425647
Autor:
Frédéric Vrins, Nathan Lassance
Publikováno v:
European Journal of Operational Research, (2023)
We introduce a general framework to the portfolio-selection problem in which investors aim at targeting a distribution of returns, which can accommodate a wide range of preferences. The resulting optimal portfolio has a return density that is as clos
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::34a5b2f9592f91e4f31efdaf03ba5d8a
https://hdl.handle.net/2078.1/272598
https://hdl.handle.net/2078.1/272598
Autor:
Nathan Lassance
Publikováno v:
Statistics & Probability Letters, Vol. 194, p. 109760 (2023)
We derive an analytical solution to the optimal shrinkage of OLS regression coefficients toward a constant target, under any first two moments of predictors. The estimator closely mimics the prediction performance of ridge penalty, which admits no ge
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::99c90c3123b6b0acd1b505518117e965
https://doi.org/10.2139/ssrn.4244901
https://doi.org/10.2139/ssrn.4244901
Autor:
Frédéric Vrins, Nathan Lassance
Publikováno v:
Annals of Operations Research, Vol. 299, p. 23–46 (2021)
Accounting for the non-normality of asset returns remains one of the main challenges in portfolio optimization. In this paper, we tackle this problem by assessing the risk of the portfolio through the "amount of randomness" conveyed by its returns. W
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c27f68773f6744d89314b37a3afb917d
https://doi.org/10.1007/s10479-019-03364-2
https://doi.org/10.1007/s10479-019-03364-2
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::662ff273f01c3b3bc6c16ffd78548959
https://doi.org/10.2139/ssrn.3855546
https://doi.org/10.2139/ssrn.3855546
Autor:
Nathan Lassance
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c0db71b59fe7f46148c0775b5ad755ac
https://doi.org/10.2139/ssrn.3959708
https://doi.org/10.2139/ssrn.3959708
Autor:
Nathan Lassance
Publikováno v:
European Journal of Operational Research, Vol. 297, no. 2, p. 729-740 (2022)
Mean-variance portfolio theory remains frequently used as an investment rationale because of its simplicity, its closed-form solution, and the availability of well-performing robust estimators. At the same time, it is also frequently rejected on the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ce48917a45b29a93764f14a5dee0c9e
https://doi.org/10.2139/ssrn.3664049
https://doi.org/10.2139/ssrn.3664049
Autor:
Nathan Lassance
Publikováno v:
SSRN Electronic Journal.
Ever since modern portfolio theory was introduced by Harry Markowitz in 1952, a plethora of papers have been written on the mean-variance investment problem. However, due to the non-Gaussian nature of asset returns, the mean and variance statistics a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c4ab6f63c41fdd0bfdb8ce0cae685bd5
https://doi.org/10.2139/ssrn.3500947
https://doi.org/10.2139/ssrn.3500947
Autor:
Frédéric Vrins, Nathan Lassance
Publikováno v:
SSRN Electronic Journal.
Large investment universes are usually fatal to portfolio strategies optimizing higher moments because of computational and estimation issues resulting from the number of parameters involved. In this paper, we introduce a parsimonious method to estim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e408b48985fe11488f8bc6188a70c55f
https://doi.org/10.2139/ssrn.3455400
https://doi.org/10.2139/ssrn.3455400