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 main research focus is 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
Google Scholar | SSRN | Research Gate | CV
Research
Publications
Optimal portfolio choice with fat tails and parameter uncertainty, with R. Kan. Journal of Financial and Quantitative Analysis, forthcoming. Replication code.
The risk of expected utility under parameter uncertainty, with A. Martin-Utrera and M. Simaan. Management Science (2024), 70(11), 7644-7663. Replication code.
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. Replication code.
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
The economic value of mean squared error: Evidence from portfolio selection, with Z. Cai, Z. Cui, and M. Simaan.
Minor revision at Operations Research.
Optimal portfolio size under parameter uncertainty, with R. Vanderveken and F. Vrins.
Major revision at Journal of Financial and Quantitative Analysis.
Recipient of 2024 best paper award from Af2i (French Association of Institutional Investors).
Does the factor zoo pay off? A portfolio view on mispricing and the limited gains from new anomalies, with A. Martin-Utrera.
A dynamic shrinkage covariance matrix aligned with sentiment, with A. Martin-Utrera.
The distribution of out-of-sample returns of estimated optimal portfolios, with R. Kan and X. Wang.
Work in progress
Consistent distribution-free shrinkage estimators in high dimension, with V. Asimit.
Optimal shrinkage of the covariance matrix for portfolio selection, with R. Vanderveken and F. Vrins.
A general framework for goals-based and behavioral portfolio management, with Z. Cui.
Parameter uncertainty in forecast combination.
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.