Roy Kouwenberg

Mahidol University - College of Management

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

32

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61

Scholarly Papers (32)

1.
Downloads 1,794 ( 11,746)
Citation 41

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, Roy Kouwenberg and Thierry Post
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Graduate School of Business of Nazarbayev University
Downloads 1,794 (11,534)
Citation 41

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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, Roy Kouwenberg and Thierry Post
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Graduate School of Business of Nazarbayev University

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Optimal portfolio choice, Behavioral finance, Loss aversion

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, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department, Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 1,221 (20,932)

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

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

Number of pages: 26 Posted: 22 May 2002
Arjan B. Berkelaar, Roy Kouwenberg, Roy Kouwenberg and Phomchanok Cumperayot
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Chulalongkorn University
Downloads 23 (640,809)
Citation 1
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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, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 1,165 (22,824)
Citation 4

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4.

Strategic Asset Allocation and Risk Budgeting for Insurers Under Solvency II

Number of pages: 46 Posted: 11 Jan 2017 Last Revised: 17 Jan 2017
Roy Kouwenberg and Roy Kouwenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 1,079 (25,576)
Citation 5

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asset allocation, life insurance, solvency ii, marginal risk, asset liability management

5.

Chasing Trends in the U.S. Housing Market

Number of pages: 46 Posted: 20 Jan 2010 Last Revised: 02 Mar 2011
Roy Kouwenberg, Roy Kouwenberg and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Vrije Universiteit Amsterdam
Downloads 962 (30,090)
Citation 9

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Housing market, behavioral finance, heterogeneous agents, bubbles

6.
Downloads 789 ( 39,640)
Citation 17

Incentives and Risk Taking in Hedge Funds

Sauder School of Business Working Paper
Number of pages: 39 Posted: 10 Aug 2004
Roy Kouwenberg, Roy Kouwenberg and William T. Ziemba
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and University of British Columbia (UBC) - Sauder School of Business
Downloads 789 (39,088)
Citation 17

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Hedge funds, incentive fees, optimal portfolio choice

Incentives and Risk Taking in Hedge Funds

Journal of Banking and Finance, Vol. 31, No. 11, 2007
Posted: 16 Nov 2007
Roy Kouwenberg, Roy Kouwenberg and William T. Ziemba
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and University of British Columbia (UBC) - Sauder School of Business

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Hedge funds, Incentive fees, Optimal portfolio choice

7.
Downloads 766 ( 41,256)
Citation 16

Loss-Aversion and Household Portfolio Choice

Number of pages: 53 Posted: 19 Mar 2008 Last Revised: 25 Nov 2009
Stephen G. Dimmock, Roy Kouwenberg and Roy Kouwenberg
National University of Singapore and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 766 (40,672)
Citation 16

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portfolio choice, loss-aversion, reference points, stock market participation, limited participation, prospect theory

Loss-Aversion and Household Portfolio Choice

Journal of Empirical Finance, Vol. 17, No. 3, pp. 441-459, 2010
Posted: 15 Apr 2011
Stephen G. Dimmock, Roy Kouwenberg and Roy Kouwenberg
National University of Singapore and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management

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Portfolio choice, Loss-aversion, Stock market participation, Limited participation, Prospect theory

8.

Does Voluntary Corporate Governance Code Adoption Increase Firm Value in Emerging Markets? Evidence from Thailand

Number of pages: 34 Posted: 22 Jan 2007
Roy Kouwenberg and Roy Kouwenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 513 (69,344)
Citation 12

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Corporate Governance, International Finance, Emerging Markets

9.

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, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 498 (71,945)
Citation 4

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Asset pricing, Equilibrium, Behavioral finance, Loss aversion

10.

Corporate Governance and Stock Returns in Asia

Number of pages: 36 Posted: 18 Apr 2012 Last Revised: 15 Nov 2012
Roy Kouwenberg, Roy Kouwenberg, Roelof Salomons and Pipat Thontirawong
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Groningen and Mahidol University - College of Management
Downloads 395 (94,553)
Citation 3

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corporate governance, stock market efficiency, emerging markets

11.

Ambiguity Attitudes in a Large Representative Sample

Netspar Discussion Paper No. 06/2011-054
Number of pages: 67 Posted: 01 Jul 2011 Last Revised: 04 Feb 2015
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg and Peter P. Wakker
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 389 (96,607)
Citation 25

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Ambiguity aversion, Uncertainty, Portfolio choice, Knightian uncertainty, Non-Expected utility, Reference dependence, Stock market participation, Limited participation

Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence

Netspar Discussion Paper No. 09/2012-035 - revised version May 2015
Number of pages: 66 Posted: 16 Oct 2012 Last Revised: 05 Jan 2016
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 187 (202,924)
Citation 17

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ambiguity aversion, stock market participation, household portfolio puzzles, homebias, own-company stock puzzle, portfolio under-diversification, household finance

Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence

Pension Research Council WP 2012-20
Number of pages: 65 Posted: 11 Oct 2012 Last Revised: 18 Feb 2020
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 90 (355,351)
Citation 38

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ambiguity aversion, stock market participation, household portfolio puzzles, homebias, own-company stock puzzle, portfolio under-diversification, household finance

Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence

NBER Working Paper No. w18743
Number of pages: 59 Posted: 26 Jan 2013 Last Revised: 19 Sep 2021
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 41 (530,079)
Citation 1

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13.

Model Uncertainty and Exchange Rate Forecasting

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 52 Posted: 09 Jul 2013 Last Revised: 01 Feb 2016
Roy Kouwenberg, Roy Kouwenberg, Agnieszka Markiewicz, Ralph Verhoeks and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 314 (122,214)
Citation 2

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exchange rate forecasting, model uncertainty, model averaging

14.

Compulsive Gambling in the Financial Markets: Evidence from Two Investor Surveys

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 16 Aug 2017 Last Revised: 07 Dec 2019
Ruben Cox, Atcha Kamolsareeratana, Roy Kouwenberg and Roy Kouwenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Mahidol University, College of Management, Students and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 211 (181,936)

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Individual Investors, Trading Behavior, Gambling

Do Firms Decouple Corporate Governance Policy and Practice?

Number of pages: 40 Posted: 16 Jan 2008 Last Revised: 27 Jun 2010
Nasha Ananchotikul, Roy Kouwenberg, Roy Kouwenberg, Visit Phunnarungsi and Visit Phunnarungsi
University of California, Berkeley, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Mahidol University - College of ManagementMahidol University - College of Management
Downloads 208 (184,075)
Citation 1

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Corporate governance, violations, fraud, cheap talk, Thailand

Do Firms Decouple Corporate Governance Policy and Practice?

European Financial Management, Vol. 16, Issue 5, pp. 712-737, November 2010
Number of pages: 26 Posted: 26 Oct 2010
Nasha Ananchotikul, Roy Kouwenberg, Roy Kouwenberg, Visit Phunnarungsi and Visit Phunnarungsi
University of California, Berkeley, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Mahidol University - College of ManagementMahidol University - College of Management
Downloads 3 (806,148)
Citation 1
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16.

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, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 165 (226,102)
Citation 1

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Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Wharton Pension Research Council Working Paper No. 2018-09
Number of pages: 60 Posted: 20 Aug 2018 Last Revised: 02 Sep 2020
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 149 (246,816)
Citation 1

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household finance, behavioral economics, probability weighting, rank dependent utility, cumulative prospect theory, salience theory, portfolio underdiversification, household portfolio puzzles

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

NBER Working Paper No. w24928
Number of pages: 53 Posted: 22 Aug 2018 Last Revised: 13 Aug 2021
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 7 (771,792)
Citation 1

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18.

Childhood Roots of Financial Literacy

DIW Berlin Discussion Paper No. 1504
Number of pages: 44 Posted: 24 Sep 2015
Antonia Grohmann, Roy Kouwenberg, Roy Kouwenberg and Lukas Menkhoff
Aarhus University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and German Institute for Economic Research (DIW Berlin)
Downloads 148 (247,570)
Citation 4

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Financial literacy, financial behavior, family background, education, numeracy

19.

Early Warning Systems for Currency Crises: A Multivariate Extreme Value Approach

Number of pages: 56 Posted: 14 Feb 2011 Last Revised: 17 Aug 2012
Phomchanok Cumperayot, Roy Kouwenberg and Roy Kouwenberg
Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 140 (258,774)
Citation 4

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Currency crises, Crisis prediction, Extreme value theory, Emerging markets

20.

Currency Wars: Who Gains from the Battle?

Number of pages: 44 Posted: 12 Jan 2016
Phomchanok Cumperayot, Roy Kouwenberg and Roy Kouwenberg
Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 135 (266,246)

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Real exchange rate misalignment, Growth, Undervaluation

21.

Inverse S-Shaped Probability Weighting and Its Impact on Investment

Number of pages: 43 Posted: 10 Nov 2017
Xue Dong He, Roy Kouwenberg, Roy Kouwenberg and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 110 (309,089)
Citation 2

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Rank-Dependent Utility; Portfolio Selection; Probability Weighting; Inverse S-shaped Weighting Function; Optimal Stock Holding

22.

Rank-Dependent Utility and Risk Taking in Complete Markets

Number of pages: 40 Posted: 27 Jan 2015 Last Revised: 25 Jun 2016
Xue Dong He, Roy Kouwenberg, Roy Kouwenberg and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 107 (315,046)
Citation 7

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rank-dependent utility; portfolio selection; risk aversion; complete markets; less risky terminal wealth; optimal stock holding

23.

Financial Literacy: Thai Middle Class Women Do Not Lag Behind

DIW Berlin Discussion Paper No. 1615
Number of pages: 53 Posted: 11 Nov 2016
Antonia Grohmann, Olaf Hübler, Roy Kouwenberg, Roy Kouwenberg and Lukas Menkhoff
Aarhus University, University of Hannover, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and German Institute for Economic Research (DIW Berlin)
Downloads 100 (329,567)
Citation 5

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financial literacy, financial behavior, gender gap, individual characteristics, societal norms, Thailand

24.

Online Appendix for 'Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence'

Journal of Financial Economics, 2016, 119(3), 559-577
Number of pages: 13 Posted: 25 May 2017 Last Revised: 12 Oct 2017
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 94 (342,814)
Citation 1

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25.

Estimating Ambiguity Preferences and Perceptions in Multiple Prior Models: Evidence from the Field

Journal of Risk and Uncertainty, vol. 51(3), December 2015
Number of pages: 43 Posted: 05 Jun 2015 Last Revised: 04 Jan 2016
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 87 (359,839)
Citation 7

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ambiguity, decision-making under uncertainty, multiple prior models, alpha-maxmin model

Ambiguity Attitudes About Investments: Evidence From the Field

Wharton Pension Research Council Working Paper No. 2019-02
Number of pages: 45 Posted: 06 Mar 2019
Kanin Anantanasuwong, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
Mahidol University, College of Management, Students, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 41 (530,079)

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ambiguity, decision-making under uncertainty, investment, preferences, financial literacy

Ambiguity Attitudes About Investments: Evidence from the Field

NBER Working Paper No. w25561
Number of pages: 64 Posted: 19 Feb 2019 Last Revised: 06 Mar 2019
Kanin Anantanasuwong, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
Mahidol University, College of Management, Students, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Pennsylvania - The Wharton School and Netspar
Downloads 7 (771,792)

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27.

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

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Asset liability management, Optimal portfolio choice, Downside risk

28.

Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds

Journal of Asset Management, Vol. 3, No. 4, pp. 361-382, March 2003
Posted: 21 Nov 2006
Roy Kouwenberg and Roy Kouwenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management

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Hedge funds, Survival, Performance persistence, Alpha

29.

Linkages between Extreme Stock Market and Currency Returns

Journal of International Money and Finance, Vol. 25, pp. 528-550, 2006
Posted: 21 Nov 2006
Phornchanok Cumperayot, Tjeert Keijzer, Tjeert Keijzer, Roy Kouwenberg and Roy Kouwenberg
Chulalongkorn University, Faculty of Economics, IndependentLazard Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management

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Currency market, Stock market, Extreme events, Spillover

30.

Hedging Options Under Transaction Costs and Stochastic Volatility

Posted: 23 May 2003
Roy Kouwenberg, Roy Kouwenberg, Jacek Gondzio and Ton Vorst
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Edinburgh - School of Mathematics and VU University Amsterdam - Department of Finance and Financial Sector Management

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Option hedging, Stochastic Volatility, Stochastic Programming, Computational Finance

31.

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

Posted: 05 May 2003
Roy Kouwenberg, Roy Kouwenberg and Arjan B. Berkelaar
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and World Bank - Quantitative Strategies, Risk & Analytics Department

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

32.

Options and Earnings Announcements: An Empirical Study of Volatility, Trading Volume, Open Interest and Liquidity

Posted: 17 Jun 2000
Monique W.M. Donders, Roy Kouwenberg, Roy Kouwenberg and Ton Vorst
MeesPierson Investment Bank, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and VU University Amsterdam - Department of Finance and Financial Sector Management

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Earnings Announcements, Volatility, Volume, Spreads, Open Interest