Author Page for Arjan B. Berkelaar

1.

Optimal Portfolio Choice Under Loss Aversion

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Citation 60

2

Optimal Portfolio Choice Under Loss Aversion

Review of Economics and Statistics, Vol. 86, No. 4, 2004

Number of pages: 31 Posted: 29 Mar 2000 Last Revised: 15 May 2018

Arjan B. Berkelaar, Roy Kouwenberg and Thierry Post

World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Graduate School of Business of Nazarbayev University

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Citation 60

Abstract:

Optimal Portfolio Choice Under Loss Aversion

Review of Economics and Statistics, Vol. 86, No. 4, pp. 973-987, November 2004

Posted: 21 Nov 2006

Arjan B. Berkelaar, Roy Kouwenberg and Thierry Post

World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Graduate School of Business of Nazarbayev University

Abstract:

2.

The Effect of VAR Based Risk Management on Asset Prices and the Volatility Smile

Number of pages: 27 Posted: 15 Apr 2001

Arjan B. Berkelaar, Phomchanok Cumperayot and Roy Kouwenberg

World Bank - Quantitative Strategies, Risk & Analytics Department, Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Citation 1

Abstract:

3.

Dynamic Asset Allocation and Downside-Risk Aversion

Econometric Institute Report No. EI 2000-12/A

Number of pages: 29 Posted: 25 May 2000

Arjan B. Berkelaar and Roy Kouwenberg

World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Downloads 1,236 (36,233)

Citation 5

Abstract:

4.

From Boom 'til Bust: How Loss Aversion Affects Asset Prices

Journal of Banking and Finance, Vol. 33, pp. 1005-1013, 2009

Number of pages: 32 Posted: 30 Jun 2000 Last Revised: 01 Apr 2009

Arjan B. Berkelaar and Roy Kouwenberg

World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Citation 4

Abstract:

5.

Investing in a Real World with Mean-Reverting Inflation

Econometric Institute Report No. EI-9960/A

Number of pages: 33 Posted: 26 Apr 2000

Arjan B. Berkelaar and Roy Kouwenberg

World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Citation 1

Abstract:

6.

A Liability-Relative Drawdown Approach to Pension Asset Liability Management

Journal of Asset Management, Vol. 11, pp. 194-217, 2010

Posted: 13 Apr 2011

Arjan B. Berkelaar and Roy Kouwenberg

World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

7.

The Sense and Nonsense of Risk Budgeting

Financial Analysts Journal, Vol. 62, No. 5, pp. 63-77, September/October 2006

Posted: 11 Oct 2006

Arjan B. Berkelaar, Masaki Tsumagari and Adam Kobor

World Bank - Quantitative Strategies, Risk & Analytics Department, World Bank and New York University (NYU)

Abstract:

8.

Retirement Saving with Contribution Payments and Labor Income as a Benchmark for Investments

Posted: 05 May 2003

Roy Kouwenberg and Arjan B. Berkelaar

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and World Bank - Quantitative Strategies, Risk & Analytics Department

Arjan B. Berkelaar

World Bank - Quantitative Strategies, Risk & Analytics Department

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Scholarly Papers (8)

Optimal Portfolio Choice Under Loss Aversion

Optimal Portfolio Choice Under Loss Aversion

Abstract:

Optimal Portfolio Choice Under Loss Aversion

Abstract:

The Effect of VAR Based Risk Management on Asset Prices and the Volatility Smile

Abstract:

Dynamic Asset Allocation and Downside-Risk Aversion

Abstract:

From Boom 'til Bust: How Loss Aversion Affects Asset Prices

Abstract:

Investing in a Real World with Mean-Reverting Inflation

Abstract:

A Liability-Relative Drawdown Approach to Pension Asset Liability Management

Abstract:

The Sense and Nonsense of Risk Budgeting

Abstract:

Retirement Saving with Contribution Payments and Labor Income as a Benchmark for Investments

Abstract: