Steven Vanduffel

According to our database, Steven Vanduffel authored at least 15 papers between 2012 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Optimal multivariate financial decision making.

Carole Bernard, Luca De Gennaro Aquino, Steven Vanduffel

Eur. J. Oper. Res., May, 2023

2022

On some synchronization problems with multiple instances.

Dries Cornilly, Giovanni Puccetti, Ludger Rüschendorf, Steven Vanduffel

J. Comput. Appl. Math., 2022

Fair allocation of indivisible goods with minimum inequality or minimum envy.

Dries Cornilly, Giovanni Puccetti, Ludger Rüschendorf, Steven Vanduffel

Eur. J. Oper. Res., 2022

2020

The minimum regularized covariance determinant estimator.

Kris Boudt, Peter J. Rousseeuw, Steven Vanduffel, Tim Verdonck

Stat. Comput., 2020

On the computation of Wasserstein barycenters.

Giovanni Puccetti, Ludger Rüschendorf, Steven Vanduffel

J. Multivar. Anal., 2020

2019

Optimal portfolio choice with benchmarks.

Carole Bernard, Rob H. De Staelen, Steven Vanduffel

J. Oper. Res. Soc., 2019

Optimal strategies under Omega ratio.

Carole Bernard, Steven Vanduffel, Jiang Ye

Eur. J. Oper. Res., 2019

2018

Rearrangement algorithm and maximum entropy.

Carole Bernard, Oleg Bondarenko, Steven Vanduffel

Ann. Oper. Res., 2018

Block rearranging elements within matrix columns to minimize the variability of the row sums.

Kris Boudt, Edgars Jakobsons, Steven Vanduffel

4OR, 2018

2017

Risk bounds for factor models.

Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang

Finance Stochastics, 2017

A stein type lemma for the multivariate generalized hyperbolic distribution.

Steven Vanduffel, Jing Yao

Eur. J. Oper. Res., 2017

2014

Optimal claims with fixed payoff structure.

Carole Bernard, Ludger Rüschendorf, Steven Vanduffel

J. Appl. Probab., 2014

Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection.

Carole Bernard, Steven Vanduffel

Eur. J. Oper. Res., 2014

2012

A Note on 'Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011).

Carole Bernard, Xiao Jiang, Steven Vanduffel

J. Appl. Probab., 2012

A provisioning problem with stochastic payments.

Bernardo K. Pagnoncelli, Steven Vanduffel

Eur. J. Oper. Res., 2012