Arjan B. Berkelaar

World Bank - Quantitative Strategies, Risk & Analytics Department

1818 H Street NW

Washington, DC 20433

United States

BF-Joint Library

BF-Joint Library

SCHOLARLY PAPERS

8

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CITATIONS
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73

Scholarly Papers (8)

1.
Downloads 1,644 ( 7,941)
Citation 59

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: 30 Jan 2012
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 Koc University - Graduate School of Business
Downloads 1,644 (7,782)
Citation 59

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 Koc University - Graduate School of Business

Abstract:

Optimal portfolio choice, Behavioral finance, Loss aversion

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

EFMA 2001 Lugano Meetings
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)
Downloads 1,192 (13,032)
Citation 2

Abstract:

asset pricing, general equilibrium, value-at-risk, risk management

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

European Financial Management, Vol. 8, pp. 139-164, 2002
Number of pages: 26 Posted: 22 May 2002
Arjan B. Berkelaar, Roy Kouwenberg and Phomchanok Cumperayot
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Chulalongkorn University
Downloads 23 (447,585)
Citation 2
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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 1,096 (14,758)
Citation 3

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)
Downloads 461 (49,117)
Citation 9

Abstract:

Asset pricing, Equilibrium, Behavioral finance, Loss aversion

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)
Downloads 158 (157,646)

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:

Asset liability management, Optimal portfolio choice, Downside risk

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 World Bank

Abstract:

Risk Measurement and Management, Advanced Risk Tools, Multi-Asset Portfolios; Portfolio Management, Asset Allocation

8.

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

Journal of Economic Dynamics & Control, Vol. 27, No. 6, February 2003
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

Abstract:

Retirement Saving, Optimal Asset Allocation, Discrete-Time Finance, Dynamic Programming