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Steven Vanduffel

Vrije Universiteit Brussel

27H-index
266Paper Count
2.4KCitation Count
Published Papers 15
Publication Date
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Multivariate portfolio choice via quantiles
errQuantitative Finance
IF1.4
err2025-12-01
err0
PREAI
errBernard, Carole; Perchiazzo, Andrea; Vanduffel, Steven
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MinCovTarget+: a fast heuristic algorithm for fair allocation
errAnnals of Operations Research
IF4.5
err2025-11-14
err0
errOAAI
errGiovanni Puccetti; Ludger Rüschendorf; Steven Vanduffel
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errSave
Improved block rearrangement algorithm
errAnnals of Operations Research
IF4.5
err2025-07-25
err0
PREAI
errCarole Bernard; Jinghui Chen; Ludger Rüschendorf; Steven Vanduffel
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errSave
Optimal payoffs under smooth ambiguity
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2025-02-01
err0
errOAAI
errChen, An; Vanduffel, Steven; Wilke, Morten
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errSave
Robust assessment of life insurance products
errANNALS OF OPERATIONS RESEARCH
IF4.5
err2024-04-23
err0
errOAAI
errBernard, Carole; De Vecchi, Corrado; Vanduffel, Steven
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errSave
ETF Basket-Adjusted Covariance estimation✩
errJOURNAL OF ECONOMETRICS
IF4
err2023-08-01
err0
errOAAI
errBoudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, Steven
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errSave
Optimal multivariate financial decision making
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2023-05-01
err1
errOAAI
errBernard, C.; Aquino, L. De Gennaro; Vanduffel, S.
errShare
errSave
Implied value-at-risk and model-free simulation
errANNALS OF OPERATIONS RESEARCH
IF4.5
err2022-11-05
err0
errOAAI
errBernard, Carole; Perchiazzo, Andrea; Vanduffel, Steven
errShare
errSave
Fair allocation of indivisible goods with minimum inequality or minimum envy
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2022-03-01
err4
errOAAI
errCornilly, Dries; Puccetti, Giovanni; Rueschendorf, Ludger; Vanduffel, Steven
errShare
errSave
Optimal strategies under Omega ratio
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2019-06-01
err18
PREAI
errBernard, Carole; Vanduffel, Steven; Ye, Jiang
errShare
errSave
Rearrangement algorithm and maximum entropy
errANNALS OF OPERATIONS RESEARCH
IF4.5
err2017-09-06
err10
errOAAI
errBernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
errShare
errSave
A stein type lemma for the multivariate generalized hyperbolic distribution
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2017-09-01
err11
PREAI
errVanduffel, Steven; Yao, Jing
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errSave
A new approach to assessing model risk in high dimensions
errJOURNAL OF BANKING & FINANCE
IF3.8
err2015-09-01
err45
PREAI
errBernard, Carole; Vanduffel, Steven
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errSave
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2014-04-01
err26
PREAI
errBernard, C.; Vanduffel, S.
errShare
errSave
A provisioning problem with stochastic payments
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2012-09-01
err7
PREAI
errPagnoncelli, Bernardo K.; Vanduffel, Steven
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errSave

Research Directions

The data has not been retrieved yet.
Co-authors
Cooperation Journals
L
Ludger Rüschendorf
H-index: 45 · Papers: 342
K
Kris Boudt
H-index: 32 · Papers: 234
C
Carole Bernard
H-index: 29 · Papers: 236
G
Giovanni Puccetti
H-index: 25 · Papers: 95
O
Oleg Bondarenko
H-index: 21 · Papers: 76
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