Welcome !

I am an Assistant Professor at UCLouvain (Belgium). I teach finance courses at the Louvain School of Management (LSM) and I am a research fellow of the Louvain Finance (LFIN) research center within the Louvain Institute of Data Analysis and Modeling (LIDAM).

My current research agenda is to understand the distributional properties of out-of-sample portfolio performance and use those insights to construct well-performing investment strategies.

Besides research, I have a passion for trail/marathon running.

Feel free to reach me at nathan.lassance@uclouvain.be

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Research

Publications

The risk of expected utility under parameter uncertainty, with A. Martin-Utrera and M. Simaan. Management Science, forthcoming.
On the combination of naive and mean-variance portfolio strategies, with R. Vanderveken and F. Vrins. Journal of Business & Economic Statistics, 42(3).
The distribution of sample mean-variance portfolio weights, with R. Kan and X. Wang. Random Matrices: Theory and Applications, 13(1).
Portfolio selection: A target-distribution approach, with F. Vrins. European Journal of Operational Research (2023), 310(1), 302-314.
An analytical shrinkage estimator for linear regression. Statistics & Probability Letters (2023), 194.
Optimal portfolio diversification via independent component analysis, with V. DeMiguel and F. Vrins. Operations Research (2022), 70(1), 55-72.
Reconciling mean-variance portfolio theory with non-gaussian returns. European Journal of Operational Research (2021), 297(2), 729-740.
Portfolio selection with parsimonious higher comoments estimation, with F. Vrins. Journal of Banking and Finance (2021), 126(9), 106-115.
Minimum Rényi entropy portfolios, with F. Vrins. Annals of Operations Research (2021), 299(1), 23-46.
A comparison of pricing and hedging performances of equity derivatives models, with F. Vrins. Applied Economics (2018), 50(10), 1122-1137.

Working papers

Optimal portfolio choice with fat tails and parameter uncertainty, with R. Kan.
- - Revise and resubmit at Journal of Financial and Quantitative Analysis.
Do limits to arbitrage explain portfolio gains from asset mispricing?, with A. Martin-Utrera.
The economic value of mean squared error: Evidence from portfolio selection, with Z. Cai, Z. Cui, and M. Simaan.
Optimal portfolio size under parameter uncertainty, with R. Vanderveken and F. Vrins.
The distribution of out-of-sample returns of estimated optimal portfolios, with R. Kan and X. Wang.

Teaching

Big data in finance, master's degree in business engineering, Louvain-la-Neuve.
Institutional investors, master's degree in business engineering/management science, Mons.
Finance d'entreprise, master's degree in management science, Mons/Charleroi.