Pieter Jelle van der Sluis

APG Asset Management, GTAA Fund

Head of Systematic Strategies

Gustav Mahlerplein 3

Amsterdam, 1082MS

Netherlands

Free University of Amsterdam

Assistant Professor

De Boelelaan 1105

NL-1081HV Amsterdam

Netherlands

  • APG Asset Management, GTAA Fund

  • Free University of Amsterdam

SCHOLARLY PAPERS

8

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8,608

CITATIONS
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45

Scholarly Papers (8)

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1.

A Reality Check on Hedge Funds Returns

Number of pages: 38 Posted: 07 Oct 2003
Nolke Posthuma and Pieter Jelle van der Sluis
ABP Investments - Research Department and APG Asset Management, GTAA Fund
Downloads 3,544 (2,661)
Citation 23

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Backfill bias, Hedge funds, Performance Persistence, Self-selection bias

2.

Return-Based Style Analysis with Time-Varying Exposures

Downloads 1,521 ( 11,080)
Citation 16

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund
Downloads 1,521 (10,872)
Citation 16

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Dynamic models, Kalman filter, Mutual funds, Style analysis

Return-Based Style Analysis with Time-Varying Exposures

European Journal of Finance, Vol. 12, Issues 6-7, pp. 529-552, 2006
Posted: 02 Nov 2008
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund

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Dynamic models, Kalman filter, Mutual funds, Style analysis

3.

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Downloads 1,236 ( 15,380)
Citation 5

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

COMPUTATIONAL FINANCE, Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, Andreas S. Weigend, eds., Cambridge, MA: MIT Press, 1999
Number of pages: 41 Posted: 29 Dec 2000 Last Revised: 27 Feb 2013
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 888 (24,770)
Citation 5

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stochastic volatility, efficient method of moments (EMM), reprojection, option pricing

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Number of pages: 38 Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 348 (83,271)
Citation 5

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Swaps, default risk

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

European Finance Review, Vol. 3, No. 3
Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund

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Swaps, default risk

4.

Market Timing: A Decomposition of Mutual Fund Returns

ERIM Report Series Reference No. ERS-2003-074-F&A
Number of pages: 43 Posted: 06 Nov 2003
Laurens Swinkels, Marno Verbeek and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR), Erasmus University - Rotterdam School of Management and APG Asset Management, GTAA Fund
Downloads 986 (21,578)
Citation 1

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market timing, mutual funds, performance evaluation, pensioenfondsen

5.

The Implementation Shortfall of Institutional Equity Trades

EFA 2004 Maastricht Meetings Paper No. 1813
Number of pages: 38 Posted: 26 Jul 2004
Jacob Antoon Bikker, Laura Spierdijk and Pieter Jelle van der Sluis
De Nederlandsche Bank, University of Groningen and APG Asset Management, GTAA Fund
Downloads 933 (23,404)

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implementation shortfall, institutional equity trading,

6.

Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Journal of International Money and Finance, Vol. 43, 2014
Number of pages: 31 Posted: 27 Oct 2008 Last Revised: 14 Apr 2014
Roman Kräussl, Andre Lucas, David R. Rijsbergen, Pieter Jelle van der Sluis and Evert B. Vrugt
Luxembourg School of Finance, Vrije Universiteit Amsterdam - School of Business and Economics, De Nederlandsche Bank, APG Asset Management, GTAA Fund and VU University Amsterdam, PGO-IM
Downloads 306 (96,791)

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political economy, inefficient markets, market anomalies, calendar effects

7.

Option Pricing with the Efficient Method of Moments

Computational Finance, Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend, 1999, Cambridge, MA: MIT Press
Number of pages: 41 Posted: 02 Oct 2012
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 82 (295,165)

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Stochastic Volatility, Efficient Method of Moments (EMM), Reprojection, Option Pricing

8.

Computationally Attractive Stability Tests for the Efficient Method of Moments

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Computationally Attractive Stability Tests for the Efficient Method of Moments

The Econometrics Journal, Vol. 1, Issue 1, pp. 203-227, 1998
Number of pages: 25 Posted: 24 Sep 2014
Pieter Jelle van der Sluis
APG Asset Management, GTAA Fund
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Efficient Method of Moments, Parameter updates, Stochastic volatility models, Structural stability tests with known breakpoint

Computationally Attractive Stability Tests for the Efficient Method of Moments

The Econometrics Journal, Vol. 1, 1998
Posted: 07 Apr 1999
Pieter Jelle van der Sluis
APG Asset Management, GTAA Fund

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