Roy Kouwenberg

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

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

http://people.few.eur.nl/kouwenberg

Mahidol University - College of Management

69 Vipawadee Rangsit Road

Bangkok , 10400

Thailand

http://www.cmmu.mahidol.ac.th/main/faculty/aroy.asp

SCHOLARLY PAPERS

29

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CITATIONS
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128

Scholarly Papers (29)

1.
Downloads 1,643 ( 7,874)
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 1,643 (7,713)
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
World Bank - Quantitative Strategies, Risk & Analytics Department, Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,187 (12,978)
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
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Chulalongkorn University
Downloads 23 (444,038)
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 (14,598)
Citation 3

Abstract:

4.

Chasing Trends in the U.S. Housing Market

Number of pages: 46 Posted: 20 Jan 2010 Last Revised: 02 Mar 2011
Roy Kouwenberg and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 874 (20,065)
Citation 2

Abstract:

Housing market, behavioral finance, heterogeneous agents, bubbles

5.
Downloads 703 ( 28,798)
Citation 16

Loss-Aversion and Household Portfolio Choice

Number of pages: 53 Posted: 19 Mar 2008 Last Revised: 25 Nov 2009
Stephen G. Dimmock and Roy Kouwenberg
Nanyang Technological University - Division of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 703 (28,329)
Citation 16

Abstract:

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 and Roy Kouwenberg
Nanyang Technological University - Division of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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

6.
Downloads 694 ( 29,284)
Citation 21

Incentives and Risk Taking in Hedge Funds

Sauder School of Business Working Paper
Number of pages: 39 Posted: 10 Aug 2004
Roy Kouwenberg and William T. Ziemba
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of British Columbia (UBC) - Sauder School of Business
Downloads 694 (28,817)
Citation 21

Abstract:

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 and William T. Ziemba
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of British Columbia (UBC) - Sauder School of Business

Abstract:

Hedge funds, Incentive fees, Optimal portfolio choice

7.

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 (48,641)
Citation 9

Abstract:

Asset pricing, Equilibrium, Behavioral finance, Loss aversion

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
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 369 (57,886)
Citation 1

Abstract:

Corporate Governance, International Finance, Emerging Markets

9.

Corporate Governance and Stock Returns in Asia

Number of pages: 36 Posted: 18 Apr 2012 Last Revised: 15 Nov 2012
Roy Kouwenberg, Roelof Salomons and Pipat Thontirawong
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Groningen and Mahidol University - College of Management
Downloads 281 (73,017)

Abstract:

corporate governance, stock market efficiency, emerging markets

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
Nanyang Technological University - Division of Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Pennsylvania - The Wharton School and Netspar
Downloads 161 (153,827)
Citation 1

Abstract:

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: 04 Jun 2015
Nanyang Technological University - Division of Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Pennsylvania - The Wharton School and Netspar
Downloads 62 (299,918)
Citation 1

Abstract:

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
Nanyang Technological University - Division of Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Pennsylvania - The Wharton School and Netspar
Downloads 18 (472,957)
Citation 12

Abstract:

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 and Peter P. Wakker
Nanyang Technological University - Division of Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 192 (85,508)
Citation 1

Abstract:

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

Do Firms Decouple Corporate Governance Policy and Practice?

Number of pages: 40 Posted: 16 Jan 2008 Last Revised: 27 Jun 2010
University of California, Berkeley, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Mahidol University - College of Management
Downloads 187 (134,336)
Citation 1

Abstract:

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
University of California, Berkeley, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Mahidol University - College of Management
Downloads 3 (556,235)
Citation 1
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Abstract:

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
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam
Downloads 165 (95,544)
Citation 1

Abstract:

exchange rate forecasting, model uncertainty, model averaging

14.

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 (156,256)

Abstract:

15.

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 and Roy Kouwenberg
Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 122 (183,469)

Abstract:

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

16.

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 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) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 46 (243,955)

Abstract:

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

17.

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
Nanyang Technological University - Division of Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Pennsylvania - The Wharton School and Netspar
Downloads 19 (293,758)

Abstract:

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

18.

Childhood Roots of Financial Literacy

DIW Berlin Discussion Paper No. 1504
Number of pages: 44 Posted: 24 Sep 2015
Antonia Grohmann, Roy Kouwenberg and Lukas Menkhoff
German Institute for Economic Research (DIW Berlin), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and German Institute for Economic Research (DIW Berlin)
Downloads 4 (322,654)

Abstract:

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

19.

Gambling Addiction in the Stock Market

Number of pages: 45 Posted: 16 Aug 2017
Ruben Cox, Atcha Kamolsareeratana 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)
Downloads 0 (516,791)

Abstract:

Individual investors, Trading behavior, Gambling, Speculation, Problem gambling

20.

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

Number of pages: 13 Posted: 25 May 2017
Nanyang Technological University - Division of Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Pennsylvania - The Wharton School and Netspar
Downloads 0 (521,282)

Abstract:

21.

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
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (90,294)

Abstract:

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

22.

Financial Literacy: Thai Middle Class Women Do Not Lag Behind

DIW Berlin Discussion Paper No. 1615
Number of pages: 53 Posted: 11 Nov 2016
German Institute for Economic Research (DIW Berlin), University of Hannover, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and German Institute for Economic Research (DIW Berlin)
Downloads 0 (406,129)

Abstract:

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

23.

Currency Wars: Who Gains from the Battle?

Number of pages: 44 Posted: 12 Jan 2016
Phomchanok Cumperayot and Roy Kouwenberg
Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (216,805)

Abstract:

Real exchange rate misalignment, Growth, Undervaluation

24.

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

25.

Linkages between Extreme Stock Market and Currency Returns

Journal of International Money and Finance, Vol. 25, pp. 528-550, 2006
Posted: 21 Nov 2006
Chulalongkorn University, Faculty of Economics, Lazard Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

Currency market, Stock market, Extreme events, Spillover

26.

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

Abstract:

Hedge funds, Survival, Performance persistence, Alpha

27.

Hedging Options under Transaction Costs and Stochastic Volatility

Journal of Economic Dynamics & Control, Vol. 27, No. 6, February 2003
Posted: 23 May 2003
Roy Kouwenberg, Jacek Gondzio and Ton Vorst
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Edinburgh - School of Mathematics and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

Option hedging, Stochastic Volatility, Stochastic Programming, Computational Finance

28.

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

29.

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

European Financial Management, Vol. 6, No. 2, June 2000
Posted: 17 Jun 2000
Monique W.M. Donders, Roy Kouwenberg and Ton Vorst
MeesPierson Investment Bank, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Department of Finance and Financial Sector Management

Abstract:

Earnings Announcements, Volatility, Volume, Spreads, Open Interest