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

5

DOWNLOADS
Rank 17,819

SSRN RANKINGS

Top 17,819

in Total Papers Downloads

3,034

SSRN CITATIONS
Rank 28,311

SSRN RANKINGS

Top 28,311

in Total Papers Citations

16

CROSSREF CITATIONS

13

Scholarly Papers (5)

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 2,368 (6,323)
Citation 23

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 487 (64,712)
Citation 3

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 165 (201,176)
Citation 6

Abstract:

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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
University of Manitoba - Department of Accounting and Finance, University of Amsterdam - Department of Quantitative Economics (KE) and APG Asset Management
Downloads 14 (618,385)

Abstract:

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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 (739,267)

Abstract:

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