Rob van den Goorbergh

APG Asset Management

Senior Researcher

P.O. Box 75283

1070 AG Amsterdam

Netherlands

http://www.apg.nl/apgsite/pages/english/

SCHOLARLY PAPERS

4

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CITATIONS
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52

Scholarly Papers (4)

1.

An Anatomy of Commodity Futures Risk Premia

AFA 2010 Atlanta Meetings Paper, Journal of Finance, Vol. 69, No. 1, pp. 453-482, 2014
Number of pages: 73 Posted: 17 Feb 2009 Last Revised: 11 May 2014
Marta Szymanowska, Frans de Roon, Theo Nijman and Rob van den Goorbergh
Erasmus University Rotterdam (EUR) - Department of Finance, Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and APG Asset Management
Downloads 2,241 (5,839)
Citation 49

Abstract:

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Futures contracts, Commodities, Risk premia, Portfolio sorts

2.

Risk Models after the Credit Crisis

Number of pages: 31 Posted: 15 Dec 2009 Last Revised: 13 Jun 2011
Rob van den Goorbergh, Onno W. Steenbeek, Roderick Molenaar and Peter Vlaar
APG Asset Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Robeco Asset Management and Algemene Pensioen Groep (APG)
Downloads 477 (58,000)
Citation 4

Abstract:

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essentially affine macro-finance term structure model, time-varying volatilities and correlations, jumps, options, swaptions, asset liability management

3.

Risk Models with Jumps and Time-Varying Second Moments

Netspar Discussion Paper No. 03/2011-034
Number of pages: 31 Posted: 23 Apr 2011 Last Revised: 14 Jun 2011
Rob van den Goorbergh, Roderick Molenaar, Onno W. Steenbeek and Peter Vlaar
APG Asset Management, Robeco Asset Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Algemene Pensioen Groep (APG)
Downloads 159 (183,796)
Citation 5

Abstract:

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essentially affine macro-finance term structure model, time-varying volatilities and correlations, jumps, options, swaptions

4.

Ratz IRR: Performance Measurement in the Absence of Cash Flow Data

Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/jai.2017.20.2.051
Posted: 06 Dec 2015 Last Revised: 22 May 2019
John Renkema, Rob van den Goorbergh and Carlos Garcia Rivas
APG Asset Management, APG Asset Management and PGGM Investments
Downloads 0 (661,060)

Abstract:

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Private Equity, Performance, Performance Measurement, IRR, Internal Rate of Return