Steven Vanduffel

Publication Activity (10 Years)

Years Active: 2012-2024
Publications (10 Years): 13

Top Topics

Optimal Portfolio

Johnson Lindenstrauss

Binary Matrices

Top Venues

Eur. J. Oper. Res.

Ann. Oper. Res.

Finance Stochastics

Oper. Res. Lett.

Publications

Silvana M. Pesenti, Steven Vanduffel
Optimal transport divergences induced by scoring functions. Oper. Res. Lett. 57 (2024)
Carole Bernard, Andrea Perchiazzo, Steven Vanduffel
Implied value-at-risk and model-free simulation. Ann. Oper. Res. 336 (1-2) (2024)
Carole Bernard, Luca De Gennaro Aquino, Steven Vanduffel
Optimal multivariate financial decision making. Eur. J. Oper. Res. 307 (1) (2023)
Dries Cornilly, Giovanni Puccetti, Ludger Rüschendorf, Steven Vanduffel
Fair allocation of indivisible goods with minimum inequality or minimum envy. Eur. J. Oper. Res. 297 (2) (2022)
Dries Cornilly, Giovanni Puccetti, Ludger Rüschendorf, Steven Vanduffel
On some synchronization problems with multiple instances. J. Comput. Appl. Math. 400 (2022)
Kris Boudt, Peter J. Rousseeuw, Steven Vanduffel, Tim Verdonck
The minimum regularized covariance determinant estimator. Stat. Comput. 30 (1) (2020)
Giovanni Puccetti, Ludger Rüschendorf, Steven Vanduffel
On the computation of Wasserstein barycenters. J. Multivar. Anal. 176 (2020)
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)
Kris Boudt, Edgars Jakobsons, Steven Vanduffel
Block rearranging elements within matrix columns to minimize the variability of the row sums. 4OR 16 (1) (2018)
Steven Vanduffel, Jing Yao
A stein type lemma for the multivariate generalized hyperbolic distribution. Eur. J. Oper. Res. 261 (2) (2017)
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang
Risk bounds for factor models. Finance Stochastics 21 (3) (2017)
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)
Bernardo K. Pagnoncelli, Steven Vanduffel
A provisioning problem with stochastic payments. Eur. J. Oper. Res. 221 (2) (2012)
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)