Details about Roy Kouwenberg

Access statistics for papers by Roy Kouwenberg.

Last updated 2009-01-06. Update your information in the RePEc Author Service.

Short-id: pko16

Working Papers

2003

1. Value investing in emerging markets: local macroeconomic risk and extrapolation
   Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) View citations

2000

2. Dynamic asset allocation and downside-risk aversion
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
3. From boom til bust
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
4. Optimal portfolio choice under loss aversion
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
   See Also Journal Article in The Review of Economics and Statistics (2004)

1999

5. Hedging Options under Transaction Costs and Stochastic Volatility
   Computing in Economics and Finance 1999, Society for Computational Economics
   See Also Journal Article in Journal of Economic Dynamics and Control (2003)
6. Investing in a Real World with Mean-Reverting Inflation
   Working Papers, Erasmus University of Rotterdam - Econometric Institute
   Also in
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
7. Retirement Saving with Contribution Payments and Labor Income as a Benchmark for Investments
   Working Papers, Erasmus University of Rotterdam - Econometric Institute
   Also in
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
   See Also Journal Article in Journal of Economic Dynamics and Control (2003)

Journal Articles

2007

1. Incentives and risk taking in hedge funds
   Journal of Banking & Finance, 2007, 31, (11), 3291-3310 View citations

2006

2. Linkages between extreme stock market and currency returns
   Journal of International Money and Finance, 2006, 25, (3), 528-550 View citations

2004

3. Optimal Portfolio Choice under Loss Aversion
   The Review of Economics and Statistics, 2004, 86, (4), 973-987 View citations
   See Also Working Paper (2000)

2003

4. Hedging options under transaction costs and stochastic volatility
   Journal of Economic Dynamics and Control, 2003, 27, (6), 1045-1068
   See Also Working Paper (1999)
5. Retirement saving with contribution payments and labor income as a benchmark for investments
   Journal of Economic Dynamics and Control, 2003, 27, (6), 1069-1097 View citations
   See Also Working Paper (1999)

2001

6. Scenario generation and stochastic programming models for asset liability management
   European Journal of Operational Research, 2001, 134, (2), 279-292 View citations