Anne Balter

Tilburg University

Assistant Professor

P.O. Box 90153

Tilburg, DC Noord-Brabant 5000 LE

Netherlands

Netspar

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

6

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1,393

SSRN CITATIONS

7

CROSSREF CITATIONS

5

Scholarly Papers (6)

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Number of pages: 31 Posted: 28 Jun 2014 Last Revised: 04 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 334 (115,362)
Citation 1

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model uncertainty, indifference pricing, hedging, incomplete markets, robust optimisation

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Netspar Discussion Paper No. 01/2015-002
Number of pages: 31 Posted: 14 Feb 2015 Last Revised: 03 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 114 (307,258)
Citation 1

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Model uncertainty, indifference pricing, hedging, incomplete markets, robustness, optimisation

What Does a Term Structure Model Imply About Very Long-Term Interest Rates?

Number of pages: 37 Posted: 29 Jan 2014 Last Revised: 04 Jun 2020
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 263 (148,582)

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term structure models, parameter uncertainty, extrapolation, insurance supervision

What Does a Term Structure Model Imply about Very Long-Term Interest Rates?

Netspar Discussion Paper No. 02/2014-065
Number of pages: 30 Posted: 14 Feb 2015 Last Revised: 25 Sep 2016
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 112 (311,156)
Citation 1

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term structure models, parameter uncertainty, extrapolation, insurance supervision

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Number of pages: 27 Posted: 06 Jun 2015 Last Revised: 04 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 268 (145,723)

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Model Uncertainty, Financial Econometrics, Financial Mathematics, Robustness

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Netspar Discussion Paper No. 11/2015-038
Number of pages: 27 Posted: 22 Dec 2015 Last Revised: 03 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 47 (507,909)
Citation 2

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Model uncertainty, robustness, stochastic control, optimisation, misspecification, divergence, investment problem

4.

Time-Consistency of Optimal Investment under Smooth Ambiguity

Number of pages: 35 Posted: 22 Sep 2017 Last Revised: 28 Feb 2019
Tilburg University, Mercator School of Management and Tilburg School of Economics and Management
Downloads 149 (249,607)
Citation 1

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Optimal Investment, Smooth Ambiguity, Ambiguity Aversion, Time-Consistency, Pre-Commitment

5.

Homothetic Robust Preferences

Number of pages: 20 Posted: 10 Sep 2018 Last Revised: 28 Feb 2019
Anne Balter and Ferenc Horvath
Tilburg University and City University of Hong Kong (CityU)
Downloads 86 (367,433)
Citation 1

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Robustness, Uncertainty, Ambiguity, Homothetic Preferences, Martingale Method

6.

Robust Decisions for Heterogeneous Agents via Certainty Equivalents

Number of pages: 35 Posted: 08 Jul 2021
Anne Balter and Nikolaus Schweizer
Tilburg University and Tilburg School of Economics and Management
Downloads 20 (657,596)

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