Anne Balter

Tilburg University

Associate Professor

P.O. Box 90153

Tilburg, DC Noord-Brabant 5000 LE

Netherlands

Netspar

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

11

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7

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7

Scholarly Papers (11)

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1.

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Downloads 467 (93,919)
Citation 3

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 345 (131,901)
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 122 (344,913)
Citation 4

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

2.

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

Downloads 400 (112,473)
Citation 1

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
Anne Balter, Antoon Pelsser and Peter C. Schotman
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 276 (167,016)

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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
Anne Balter, Antoon Pelsser and Peter C. Schotman
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 124 (340,684)
Citation 1

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term structure models, parameter uncertainty, extrapolation, insurance supervision

3.

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Downloads 334 (137,523)
Citation 1

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 281 (163,870)

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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 53 (569,627)
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
Anne Balter, Antje Brigitte Mahayni and Nikolaus Schweizer
Tilburg University, Mercator School of Management and Tilburg School of Economics and Management
Downloads 173 (260,017)
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 104 (384,293)
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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 81 (450,002)
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7.

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice and Asset Pricing

Number of pages: 65 Posted: 29 Oct 2022 Last Revised: 05 Jan 2023
Anne Balter, Pascal J. Maenhout and Hao Xing
Tilburg University, INSEAD - Finance and Boston University - Questrom School of Business
Downloads 73 (477,442)

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8.

Solving Maxmin Optimization Problems via Population Games

Number of pages: 34 Posted: 15 Nov 2022
Anne Balter, Johannes M. Schumacher and Nikolaus Schweizer
Tilburg University, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg School of Economics and Management
Downloads 31 (683,085)

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Maxmin optimization, population games, collective decision, Nash equilibrium, Pareto map

9.

The Effect of Marital Status on Life Expectancy: Is Cohabitation As Protective As Marriage?

Journal of Demographic Economics, Forthcoming
Number of pages: 33 Posted: 01 Nov 2022
Anne Balter, Dorethe Bjerre and Malene Kallestrup Lamb
Tilburg University, affiliation not provided to SSRN and Aarhus University
Downloads 22 (751,448)

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Cohabitation, life expectancies, longevity, mortality, marital status, health expenditure

10.

Comparative Risk Aversion vs. Threshold Choice in the Omega Ratio

Number of pages: 25 Posted: 06 Jan 2023
Anne Balter, Ki Wai Chau and Nikolaus Schweizer
Tilburg University, University of Groningen - Faculty of Economics and Business and Tilburg School of Economics and Management
Downloads 21 (759,807)

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Omega Ratio, Risk Preferences, Decision Criteria

11.

Dynamic Stability in Population Games derived from Social Decision Problems

Number of pages: 25 Posted: 15 Nov 2022
Anne Balter, Johannes M. Schumacher and Nikolaus Schweizer
Tilburg University, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg School of Economics and Management
Downloads 20 (768,207)

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Maxmin optimization, population games, collective decision, Nash equilibrium, local stability