Carole Bernard

Publication Activity (10 Years)

Years Active: 2008-2024
Publications (10 Years): 11

Top Topics

Optimal Portfolio

Top Venues

Eur. J. Oper. Res.

Ann. Oper. Res.

J. Multivar. Anal.

Finance Stochastics

Publications

Carole Bernard, Stephan Sturm
Examples and Counterexamples of Cost-efficiency in Incomplete Markets. CoRR (2024)
Carole Bernard, Andrea Perchiazzo, Steven Vanduffel
Implied value-at-risk and model-free simulation. Ann. Oper. Res. 336 (1-2) (2024)
Carole Bernard, Alfred Müller, Marco Oesting
Lp-norm spherical copulas. J. Multivar. Anal. 201 (2024)
Carole Bernard, Luca De Gennaro Aquino, Steven Vanduffel
Optimal multivariate financial decision making. Eur. J. Oper. Res. 307 (1) (2023)
Carole Bernard, Steven Vanduffel, Jiang Ye
Optimal strategies under Omega ratio. Eur. J. Oper. Res. 275 (2) (2019)
Carole Bernard, Rob H. De Staelen, Steven Vanduffel
Optimal portfolio choice with benchmarks. J. Oper. Res. Soc. 70 (10) (2019)
Carole Bernard, Oleg Bondarenko, Steven Vanduffel
Rearrangement algorithm and maximum entropy. Ann. Oper. Res. 261 (1-2) (2018)
Carole Bernard, Christoph M. Rheinberger, Nicolas Treich
Catastrophe Aversion and Risk Equity in an Interdependent World. Manag. Sci. 64 (10) (2018)
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang
Risk bounds for factor models. Finance Stochastics 21 (3) (2017)
Carole Bernard, Don McLeish
Algorithms for Finding Copulas Minimizing Convex Functions of Sums. Asia Pac. J. Oper. Res. 33 (5) (2016)
Carole Bernard, Claudia Czado
Conditional quantiles and tail dependence. J. Multivar. Anal. 138 (2015)
Carole Bernard, Steven Vanduffel
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection. Eur. J. Oper. Res. 234 (2) (2014)
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel
Optimal claims with fixed payoff structure. J. Appl. Probab. 51 (A) (2014)
Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic
Correction note for 'The large-maturity smile for the Heston model'. Finance Stochastics 17 (1) (2013)
Carole Bernard, Wenbo V. Li
Pricing and Hedging of Cliquet Options and Locally Capped Contracts. SIAM J. Financial Math. 4 (1) (2013)
Carole Bernard, Xiao Jiang, Steven Vanduffel
A Note on 'Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011). J. Appl. Probab. 49 (3) (2012)
Carole Bernard, An Chen
On the regulator-insurer interaction in a structural model. J. Comput. Appl. Math. 233 (1) (2009)
Carole Bernard, Christiane Lemieux
Fast simulation of equity-linked life insurance contracts with a surrender option. WSC (2008)