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

12

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2,814

TOTAL CITATIONS
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Top 30,473

in Total Papers Citations

12

Scholarly Papers (12)

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1.

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Downloads 540 (110,895)
Citation 7

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 381 (165,674)
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 159 (397,907)
Citation 6

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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 458 (135,808)
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 310 (207,828)

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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 148 (425,311)
Citation 1

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term structure models, parameter uncertainty, extrapolation, insurance supervision

3.

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

Number of pages: 67 Posted: 29 Oct 2022 Last Revised: 17 Jul 2023
Anne Balter, Pascal J. Maenhout and Hao Xing
Tilburg University, INSEAD - Finance and Boston University - Questrom School of Business
Downloads 406 (156,265)

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4.

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Downloads 386 (164,885)
Citation 2

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 311 (207,092)

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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 75 (690,462)
Citation 2

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

5.

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 226 (290,061)
Citation 1

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

6.

Homothetic Robust Preferences

Number of pages: 20 Posted: 10 Sep 2018 Last Revised: 28 Feb 2019
Anne Balter and Ferenc Horvath
Tilburg University and University of Liverpool
Downloads 186 (346,863)
Citation 1

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Robustness, Uncertainty, Ambiguity, Homothetic Preferences, Martingale Method

7.

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 157 (402,348)

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8.

Solving Maxmin Optimization Problems via Population Games

Number of pages: 39 Posted: 15 Nov 2022 Last Revised: 21 Feb 2024
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 121 (496,072)

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Maxmin, multicriteria optimization, collective decision, population games, Nash equilibrium.

9.

Comparative Risk Aversion vs. Threshold Choice in the Omega Ratio

Number of pages: 44 Posted: 06 Jan 2023 Last Revised: 07 Sep 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 115 (515,506)

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Omega Ratio, Risk Preferences, Decision Criteria

10.

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 96 (587,009)

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

11.

Dynamic Stability of Nash Equilibria in Tester Games

Number of pages: 30 Posted: 15 Nov 2022 Last Revised: 27 Mar 2023
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 73 (690,676)

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

12.

Decision under ambiguity, composed optimization, and quantal response equilibria

Number of pages: 43 Posted: 19 Aug 2024
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 50 (836,984)

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Ambiguity, Composed Optimization, Quantal Response Equilibrium