Chantal Labbé
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Cahiers du GERAD
Dec 2013
Chantal Labbé and François Watier
In this paper, we establish closed-form formulas for key probabilistic properties of the cone-constrained optimal mean-variance strategy, in a continuous mar...
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Sep 2009
Chantal Labbé, Hristo S. Sendov, and Kristina P. Sendova
In this paper we extend some results in Cramér (1955) by considering the expected discounted penalty function as a generalization of the infinite time ruin p...
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Sep 2009
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved ...
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Sep 2014
Chantal Labbé and François Watier
Applied Stochastic Models in Business and Industry, 30(5), 544–572, 2014
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Jan 2012
A simple discretization scheme for nonnegative diffusion processes with applications to option pricing
Chantal Labbé, Bruno Rémillard, and Jean-François Renaud
Journal of Computational Finance, 15, 3–35, 2012
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Jan 2011
The Gerber-Shiu function and the generalized Cramér-Lundberg model
Chantal Labbé, Hristo S. Sendov, and Kristina P. Sendova
Applied Mathematics and Computation, 218, 3035–3056, 2011
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Jan 2009
Conjugate duality in problems of constrained utility maximization
Chantal Labbé and Andrew J. Heunis
Stochastics, 81, 545–565, 2009
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Jan 2009
The expected discounted penalty function under a risk model with stochastic income
Chantal Labbé and Kristina P. Sendova
Applied Mathematics and Computation, 215, 1852–1867, 2009
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Jan 2007
Convex duality in constrained mean-variance portfolio optimization
Chantal Labbé and Andrew J. Heunis
Advances in Applied Probability, 39(1), 77–104, 2007
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Proceedings
Jul 2023
Ruojun Wang, Shang Lin Chen, Chantal Labbé, Marc Fredette, Amine Abdessemed, François Courtemanche, Constantinos K. Coursaris, Sylvain Sénécal, and Pierre-Majorique Léger
Design, User Experience, and Usability: 12th International Conference, DUXU 2023, Held as Part of the 25th HCI International Conference, HCII 2023, Proceedings, Part III, Copenhagen, Denmark, 101–111, 2023
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