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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Top 16,439

in Total Papers Downloads

3,853

SSRN CITATIONS
Rank 14,516

SSRN RANKINGS

Top 14,516

in Total Papers Citations

40

CROSSREF CITATIONS

41

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 - Department of Finance and ABP Investments - Research Department
Downloads 1,517 (15,281)
Citation 29

Abstract:

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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 - Department of Finance and ABP Investments - Research Department
Downloads 789 (39,049)
Citation 12

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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 - Department of Finance and ABP Investments - Research Department
Downloads 221 (173,666)
Citation 6

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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 205 (186,470)
Citation 1

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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 168 (222,808)
Citation 1

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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 168 (222,808)

Abstract:

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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 124 (284,870)
Citation 3

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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 76 (393,700)
Citation 2

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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 219 (175,548)
Citation 14

Abstract:

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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.

Pricing Embedded Options in Value-Based ALM

Number of pages: 28 Posted: 31 Jan 2012
Roy P. M. M. Hoevenaars
APG Asset Management
Downloads 189 (200,963)

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Asset liability management, option pricing, risk neutral valuation

7.

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 - Department of Finance
Downloads 177 (212,839)

Abstract:

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