Welcome !
I am an Associate 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 focuses on parameter uncertainty and its application in portfolio selection, asset pricing, regression, and forecast combination.
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, 70(11), 7644-7663.
On the combination of naive and mean-variance portfolio strategies, with R. Vanderveken and F. Vrins. Journal of Business & Economic Statistics (2024), 42(3), 875-889.
The distribution of sample mean-variance portfolio weights, with R. Kan and X. Wang. Random Matrices: Theory and Applications (2024), 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.
Minor revision at Journal of Financial and Quantitative Analysis.
The economic value of mean squared error: Evidence from portfolio selection, with Z. Cai, Z. Cui, and M. Simaan.
Major revision at Operations Research.
Do limits to arbitrage explain portfolio gains from asset mispricing?, with A. Martin-Utrera.
A dynamic shrinkage covariance matrix aligned with sentiment, with A. Martin-Utrera.
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.
Work in progress
Parameter uncertainty in forecast combination.
A general framework for goals-based and behavioral portfolio management, with Z. Cui
A portfolio approach to shrinking the covariance matrix, R. Vanderveken and F. Vrins.
Optimal targets and intensities in shrinkage estimators of the covariance matrix and its inverse, with V. Asimit.
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.