Dries Cornilly

Asteria Investment Managers

Rue du Rhône 62

Geneva, 1204

Switzerland

SCHOLARLY PAPERS

11

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1,767

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in Total Papers Citations

27

CROSSREF CITATIONS

2

Scholarly Papers (11)

1.

Algorithmic Portfolio Tilting to Harvest Higher Moment Gains

Number of pages: 15 Posted: 13 May 2019 Last Revised: 19 Apr 2020
Ghent University, Asteria Investment Managers, Degroof Petercam Asset Management and Degroof Petercam Asset Management
Downloads 496 (106,363)

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, Asteria Investment Managers and KU Leuven
Downloads 396 (138,385)
Citation 11

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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: 08 Sep 2020
Carole Bernard, Dries Cornilly and Steven Vanduffel
Grenoble Ecole de Management, Asteria Investment Managers and Vrije Universiteit Brussel (VUB)
Downloads 235 (239,083)
Citation 3

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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: 19 Apr 2020
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Asteria Investment Managers and KU Leuven
Downloads 129 (402,125)
Citation 5

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

5.

Upper Bounds for Strictly Concave Distortion Risk Measures on Moment Spaces

Number of pages: 25 Posted: 02 Nov 2017 Last Revised: 21 Jul 2018
Asteria Investment Managers, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 118 (429,933)
Citation 4

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

6.

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, Asteria Investment Managers and KU Leuven
Downloads 114 (441,178)

Abstract:

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

7.

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

European Journal of Operational Research
Number of pages: 27 Posted: 02 Jan 2020 Last Revised: 11 Jun 2021
Asteria Investment Managers, University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 96 (497,965)

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Decision analysis, fair allocation of indivisible goods, minimum envy.

8.

Equivalent Distortion Risk Measures on Moment Spaces

Number of pages: 13 Posted: 26 Nov 2018
Dries Cornilly and Steven Vanduffel
Asteria Investment Managers and Vrije Universiteit Brussel (VUB)
Downloads 69 (605,647)
Citation 1

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

9.

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, Asteria Investment Managers and KU Leuven
Downloads 65 (624,771)

Abstract:

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

10.

On a Synchronization Problem With Multiple Instances

Journal of Computational and Applied Mathematics
Number of pages: 23 Posted: 15 Oct 2020 Last Revised: 10 Jun 2021
Asteria Investment Managers, University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 49 (713,852)

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Optimization; Anti-monotonicity; Rearrangement Algorithm; ALCS

11.

Sustainability Attribution: The case of carbon intensity

Forthcoming in the Journal of Impact & ESG Investing
Posted: 14 Jun 2021 Last Revised: 13 Aug 2021
Guido Bolliger and Dries Cornilly
Asteria Investment Managers and Asteria Investment Managers

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Carbon intensity, ESG investing, ESG metrics, Impact investing