Roy P. M. M. Hoevenaars

APG Asset Management

Senior Portfolio Manager GTAA fund

P.O. Box 75283

1070 AG

Amsterdam

Netherlands

SCHOLARLY PAPERS

7

DOWNLOADS
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CITATIONS
Rank 7,989

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Top 7,989

in Total Papers Citations

58

Scholarly Papers (7)

1.

Strategic Asset Allocation With Liabilities: Beyond Stocks and Bonds

Number of pages: 51 Posted: 28 Feb 2005
Roy P. M. M. Hoevenaars, Roderick Molenaar, Peter C. Schotman and Tom Steenkamp
APG Asset Management, Robeco Asset Management, Maastricht University - Limburg Institute of Financial Economics (LIFE) and ABP Investments - Research Department
Downloads 1,346 (10,127)
Citation 34

Abstract:

Strategic asset allocation, asset liability management

Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information

Number of pages: 36 Posted: 01 Jun 2006 Last Revised: 09 Mar 2013
Roy P. M. M. Hoevenaars, Roderick Molenaar, Peter C. Schotman and Tom Steenkamp
APG Asset Management, Robeco Asset Management, Maastricht University - Limburg Institute of Financial Economics (LIFE) and ABP Investments - Research Department
Downloads 741 (26,838)
Citation 6

Abstract:

strategic asset allocation, bayesian vector autoregression, parameter uncertainty

Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information

Netspar Discussion Paper No. 04/2011-038
Number of pages: 51 Posted: 22 Apr 2011
Roy P. M. M. Hoevenaars, Roderick Molenaar, Peter C. Schotman and Tom Steenkamp
APG Asset Management, Robeco Asset Management, Maastricht University - Limburg Institute of Financial Economics (LIFE) and ABP Investments - Research Department
Downloads 208 (123,424)
Citation 6

Abstract:

strategic asset allocation, Bayesian vector autoregression, parameter uncertainty, robust portfolio choice

Public Investment Funds and Value-Based Generational Accounting

Number of pages: 23 Posted: 17 Jan 2009
Roy P. M. M. Hoevenaars, Roderick Molenaar and Eduard H.M. Ponds
APG Asset Management, Robeco Asset Management and Algemene Pensioen Groep (APG)
Downloads 201 (127,611)
Citation 7

Abstract:

Sovereign Wealth Fund, public investment funds, public pension funds

Public Investment Funds and Value-Based Generational Accounting

Netspar Discussion Paper No. 01/2009-003
Number of pages: 24 Posted: 22 Nov 2009 Last Revised: 30 Jan 2012
Eduard H.M. Ponds, Roy P. M. M. Hoevenaars and Roderick Molenaar
Algemene Pensioen Groep (APG), APG Asset Management and Robeco Asset Management
Downloads 160 (157,260)
Citation 7

Abstract:

sovereign wealth fund, public investment funds, public pension funds, value-based ALM, generational accounting, embedded options, intergenerational transfer, stochastic discount factor

Pricing Risk in Corporate Pension Plans: Understanding the Real Pension Deal

Rotman International Journal of Pension Management, Vol. 2, No. 1, 2009
Number of pages: 8 Posted: 23 May 2009
Roy P. M. M. Hoevenaars, Theo P. Kocken and Eduard H.M. Ponds
APG Asset Management, Cardano Risk Management and Algemene Pensioen Groep (APG)
Downloads 149 (167,339)
Citation 1

Abstract:

Embedded Options, Collective DC, Pension Deal, Pension Fund, Value-Based Asset LiabilityManagement, Rotman

Pricing Risk in Corporate Pension Plans: Understanding the Real Pension Deal

Number of pages: 19 Posted: 12 Feb 2009
Roy P. M. M. Hoevenaars, Theo P. Kocken and Eduard H.M. Ponds
APG Asset Management, Cardano Risk Management and Algemene Pensioen Groep (APG)
Downloads 119 (200,514)
Citation 1

Abstract:

corporate pension fund, embedded options, contingent claim analysi, the Netherlands

Pricing Risk in Corporate Pension Plans: Understanding the Real Pension Deal

Netspar Discussion Paper No. 02/2009-009
Number of pages: 20 Posted: 19 Nov 2009 Last Revised: 30 Jan 2012
Roy P. M. M. Hoevenaars, Theo P. Kocken and Eduard H.M. Ponds
APG Asset Management, Cardano Risk Management and Algemene Pensioen Groep (APG)
Downloads 70 (285,201)
Citation 1

Abstract:

5.

Valuation of Intergenerational Transfers in Funded Collective Pension Schemes

Number of pages: 36 Posted: 05 Nov 2006
Roy P. M. M. Hoevenaars and Eduard H.M. Ponds
APG Asset Management and Algemene Pensioen Groep (APG)
Downloads 183 (132,745)
Citation 10

Abstract:

Asset liability management, Generational accounting, Intergenerational risk sharing, funded defined-benefit,plans, hybrid plans, generational accounting, embedded options, value-based ALM, public finance, social security reform

6.

Regret Aversion and Annuity Risk in Defined Contribution Pension Plans

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 34 Posted: 31 Jan 2008
Roy P. M. M. Hoevenaars, Franz C. Palm, Rik Frehen and Peter C. Schotman
APG Asset Management, University of Maastricht - Department of Economics, Tilburg University - Department of Finance and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 166 (152,207)

Abstract:

Lookback Option, Life Annuity, Annuity Risk, Defined Contribution, Stochastic Discount Factor

7.

Pricing Embedded Options in Value-Based ALM

Number of pages: 28 Posted: 31 Jan 2012
Roy P. M. M. Hoevenaars
APG Asset Management
Downloads 156 (146,780)

Abstract:

Asset liability management, option pricing, risk neutral valuation