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Rob van den Goorbergh

APG Asset Management

Senior Researcher

P.O. Box 75283

1070 AG Amsterdam

Netherlands

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

  • APG Asset Management

SCHOLARLY PAPERS

5

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Rank 27,084

SSRN RANKINGS

Top 27,084

in Total Papers Downloads

4,651

TOTAL CITATIONS
Rank 18,843

SSRN RANKINGS

Top 18,843

in Total Papers Citations

85

Scholarly Papers (5)

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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 - Tilburg University School of Economics and Management and APG Asset Management
Downloads 3,773 (7,353)
Citation 76

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), affiliation not provided to SSRN and Algemene Pensioen Groep (APG)
Downloads 568 (120,007)
Citation 3

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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, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Algemene Pensioen Groep (APG)
Downloads 238 (320,573)
Citation 6

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

4.

Asymmetric Excitation and the US Bias in Portfolio Choice

Number of pages: 68 Posted: 25 Nov 2019 Last Revised: 10 Mar 2020
Zhenzhen Fan, Roger J. A. Laeven and Rob van den Goorbergh
Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, University of Amsterdam - Department of Quantitative Economics (KE) and APG Asset Management
Downloads 72 (860,052)

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Portfolio choice; US bias; International diversification; Asymmetric excitation; Mutually exciting jumps

5.

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 (1,596,965)

Abstract:

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