Rob W. J. van den Goorbergh

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

4

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1,330

SSRN CITATIONS
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Top 42,600

in Total Papers Citations

9

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Multivariate Option Pricing Using Dynamic Copula Models

CentER Discussion Paper No. 2003-122
Number of pages: 21 Posted: 21 Jun 2004
Rob W. J. van den Goorbergh, Christian Genest and Bas J. M. Werker
Tilburg University - Department of Finance, Laval University - Department of Mathematics & Statistics and Tilburg University - Center for Economic Research (CentER)
Downloads 525 (52,621)
Citation 10

Abstract:

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Time-varying dependence, best-of-two-markets options, non-normality

2.

Risk Aversion, Price Uncertainty, and Irreversibility of Investments

Number of pages: 18 Posted: 21 Mar 2002
Rob W. J. van den Goorbergh, Kuno Huisman and Peter M. Kort
Tilburg University - Department of Finance, Tilburg University, CentER and Tilburg University - Department of Econometrics & Operations Research
Downloads 419 (69,482)
Citation 1

Abstract:

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investment under uncertainty, real options, risk-averse investor, incomplete markets

3.

Economic Hedging Portfolios

Tilburg University Working Paper
Number of pages: 31 Posted: 22 May 2003
Rob W. J. van den Goorbergh, Frans de Roon and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 248 (124,344)
Citation 5

Abstract:

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Economic hedging portfolios, risk aversion-weighted hedging, state-dependent utility, risk premiums

4.

Risk Aversion, Price Uncertainty, and Irreversible Investments

CentER Discussion Paper No. 2003-119
Number of pages: 20 Posted: 17 Jun 2004
Rob W. J. van den Goorbergh, Kuno Huisman and Peter M. Kort
Tilburg University - Department of Finance, Tilburg University, CentER and Tilburg University - Department of Econometrics & Operations Research
Downloads 138 (211,117)
Citation 3

Abstract:

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Investments under uncertainty, real options, risk averse investor, incomplete markets