.
Siegmann, Arjen's
Scholarly Papers
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Aggregate Statistics
Total 3,311
Total Citations 21
1.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
1,066(8,476)
7
hedge funds, performance measurement, loss aversion, behavioral finance
2.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
455(29,206)
2
loss aversion, hedge funds, performance measurement, behavioral finance
3.
The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds
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Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Posted:
24 May 07
Last Revised:
15 Feb 08
300(48,741)
2
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
18
2
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
282
2
hedge funds, portfolio optimization, downside risk, expected shortfall
4.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
284(51,905)
1
downside-risk, stochastic programming, asset allocation, value-at-risk, time diversification, asset/liability management.
5.
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Verbeek, Marno Erasmus University - Rotterdam School of Management
219(68,917)
hedge funds, nonlinear systematic risk factors, option factors, stability
6.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Stefanova, Denitsa VU University Amsterdam
209(72,323)
hedge funds, market neutrality, liquidity
7.
Van Rooij, Maarten De Nederlandsche Bank
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Vlaar, Peter J.G. De Nederlandsche Bank - Econometrics
192(78,673)
3
Actuarial pension model, Monte Carlo simulation, Historical simulation
8.
Market Liquidity and Exposure of Hedge Funds
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Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Stefanova, Denitsa VU University Amsterdam
Posted:
21 Mar 11
Last Revised:
19 Mar 12
169(88,773)
Stefanova, Denitsa VU University Amsterdam
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
48
hedge funds, market liquidity, liquidity timing, pairs trading
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Stefanova, Denitsa VU University Amsterdam
47
hedge funds, market liquidity, limits to arbitrage, liquidity timing, pairs trading
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Stefanova, Denitsa VU University Amsterdam
74
hedge funds, market liquidity, limits to arbitrage, liquidity timing, pairs trading
9.
Schoenmaker, Dirk Duisenberg School of Finance
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
108(129,336)
Financial Stability, Financial Crises, Public Good, International Banking
10.
Schoenmaker, Dirk Duisenberg School of Finance
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Posted:
22 Aug 12
Last Revised:
08 May 13
80(157,949)
1
Financial Stability, Public Good, International Monetary Arrangements, International banking
11.
Kräussl, Roman Universite du Luxembourg - Luxembourg School of Finance
Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Posted:
14 Apr 11
Last Revised:
20 Mar 12
79(159,204)
risk aversion, preference uncertainty, risk-taking, optimal asset allocation
12.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Stefanova, Denitsa VU University Amsterdam
Zamojski, Marcin VU University Amsterdam - Department of Finance and Financial Sector Management
Posted:
03 Nov 12
Last Revised:
27 May 13
76(162,968)
hedge funds, innovation, followers, excess returns, institutional design, first-mover advantage
13.
The Effect of the Theo Van Gogh Murder on House Prices in Amsterdam
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Gautier, Pieter A. Free University of Amsterdam
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
van Vuuren, Aico VU University Amsterdam - Department of Economics
Posted:
02 Feb 07
Last Revised:
20 May 08
74(165,576)
5
Gautier, Pieter A. Free University of Amsterdam
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
van Vuuren, Aico Erasmus University Rotterdam (EUR) - Department of Economics
2
5
Hedonic market method, differences in differences, economics of terror, housing market
Gautier, Pieter A. Free University of Amsterdam
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
van Vuuren, Aico VU University Amsterdam - Department of Economics
72
5
Differences-in-differences, Terror, housing market
14.
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
semivariance, lower partial moment, downside deviation, decision making under risk, investment
15.
Van Rooij, Maarten De Nederlandsche Bank
Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration
Vlaar, Peter J.G. De Nederlandsche Bank - Econometrics
asset and liability management, fair value versus actuarial discounting, defined benefit pension funds, Monte Carlo simulation, pension liabilities, conidtional indexation
