Dries Cornilly

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

Brussels, Brussels 1050

Belgium

KU Leuven

Celestijnenlaan 200B

Leuven, Vlaams-Brabant 3001

Belgium

SCHOLARLY PAPERS

8

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CITATIONS
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7

Scholarly Papers (8)

1.

Algorithmic Portfolio Tilting to Harvest Higher Moment Gains

Number of pages: 15 Posted: 13 May 2019 Last Revised: 06 Jun 2019
Ghent University, Vrije Universiteit Brussel (VUB), Degroof Petercam Asset Management and Degroof Petercam Asset Management
Downloads 275 (109,282)

Abstract:

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mean-variance-skewness-kurtosis, non-normality, portfolio allocation, tilting

2.

A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Journal of Financial Econometrics, Forthcoming
Number of pages: 32 Posted: 20 Sep 2016 Last Revised: 15 Aug 2018
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 230 (131,210)
Citation 4

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

3.

Optimal Portfolios Under a Correlation Constraint

Forthcoming, Quantitative Finance
Number of pages: 27 Posted: 25 May 2016 Last Revised: 02 Nov 2017
Carole Bernard, Dries Cornilly and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 183 (162,574)
Citation 1

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Optimal portfolio selection, correlation constraint, Sharpe ratio, Mean-variance, Capital at Risk

4.

Nearest Comoment Estimation with Unobserved Factors

Number of pages: 35 Posted: 13 Dec 2017 Last Revised: 30 Mar 2019
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 81 (299,056)

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Higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

5.

Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Number of pages: 40 Posted: 18 May 2017 Last Revised: 04 Jun 2018
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 69 (327,670)

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

6.

Upper Bounds for Strictly Concave Distortion Risk Measures on Moment Spaces

Number of pages: 25 Posted: 02 Nov 2017 Last Revised: 21 Jul 2018
Vrije Universiteit Brussel (VUB), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 53 (373,523)
Citation 2

Abstract:

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Value-at-Risk (VaR), Coherent risk measure, Model uncertainty, Distortion function

7.

Equivalent Distortion Risk Measures on Moment Spaces

Number of pages: 13 Posted: 26 Nov 2018
Dries Cornilly and Steven Vanduffel
Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 17 (532,363)

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Coherent risk measure, Expected Shortfall (ES), Value-at-Risk (VaR), model uncertainty

8.

Supplementary Appendix to: Nearest Comoment Estimation with Unobserved Factors

Number of pages: 27 Posted: 12 Nov 2018 Last Revised: 30 Mar 2019
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 12 (561,932)

Abstract:

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higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling