Roderick Molenaar

Robeco Asset Management

Weena 850

Rotterdam, 3014 DA

Netherlands

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 3,938

in Total Papers Downloads

9,830

CITATIONS
Rank 14,722

SSRN RANKINGS

Top 14,722

in Total Papers Citations

49

Scholarly Papers (11)

1.

Dynamic Commodity Timing Strategies

Number of pages: 28 Posted: 25 Aug 2004 Last Revised: 27 Nov 2009
Evert B. Vrugt, Rob Bauer, Roderick Molenaar and Tom Steenkamp
VU University Amsterdam, PGO-IM, Maastricht University, Robeco Asset Management and ABP Investments - Research Department
Downloads 2,989 (3,621)
Citation 15

Abstract:

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Commodity futures, market timing

2.

Enhancing Risk Parity by Including Views

Journal of Investing, 2017
Number of pages: 34 Posted: 12 Aug 2014 Last Revised: 20 Sep 2016
Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 1,880 (7,949)

Abstract:

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asset allocation, risk parity, portfolio optimization, Bayesian analysis, Black-Litterman

3.

Strategic Asset Allocation With Liabilities: Beyond Stocks and Bonds

Number of pages: 51 Posted: 28 Feb 2005
APG Asset Management, Robeco Asset Management, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 1,480 (11,713)
Citation 16

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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
APG Asset Management, Robeco Asset Management, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 757 (31,370)
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
APG Asset Management, Robeco Asset Management, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 216 (139,957)
Citation 2

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

5.

Is the Value Premium Predictable in Real Time?

Number of pages: 27 Posted: 18 Sep 2002
Rob Bauer and Roderick Molenaar
Maastricht University and Robeco Asset Management
Downloads 692 (36,012)
Citation 2

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Value Premium, Style Rotation, Recursive Modeling, Model Selection

The Real-Time Predictability of the Size and Value Premium in Japan

Number of pages: 32 Posted: 09 Dec 2002
Rob Bauer, Jeroen Derwall and Roderick Molenaar
Maastricht University, Maastricht University - European Centre for Corporate Engagement and Robeco Asset Management
Downloads 577 (45,231)

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size premium, value premium, style rotation, recursive modeling, model selection

The Real-Time Predictability of the Size and Value Premium in Japan

Pacific-Basin Finance Journal, Vol. 12, No. 5, pp. 503-523, 2004
Posted: 25 Dec 2004
Rob Bauer, Jeroen Derwall and Roderick Molenaar
Maastricht University, Maastricht University - European Centre for Corporate Engagement and Robeco Asset Management

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Size premium, value premium, recursive modeling, model selection, style switching, real time predictability

7.

Risk Models after the Credit Crisis

Number of pages: 31 Posted: 15 Dec 2009 Last Revised: 13 Jun 2011
APG Asset Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Robeco Asset Management and Algemene Pensioen Groep (APG)
Downloads 478 (58,226)
Citation 3

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

Public Investment Funds and Value-Based Generational Accounting

Number of pages: 23 Posted: 17 Jan 2009
APG Asset Management, Robeco Asset Management and Algemene Pensioen Groep (APG)
Downloads 204 (147,839)

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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
Algemene Pensioen Groep (APG), APG Asset Management and Robeco Asset Management
Downloads 164 (180,343)

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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

9.

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
APG Asset Management, Robeco Asset Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Algemene Pensioen Groep (APG)
Downloads 162 (181,993)
Citation 5

Abstract:

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

Risk Sharing and Individual Lifecycle Investing in Funded Collective Pensions

Netspar Discussion Paper No. 01/2011-001
Number of pages: 22 Posted: 07 Feb 2011
Eduard H.M. Ponds and Roderick Molenaar
Algemene Pensioen Groep (APG) and Robeco Asset Management
Downloads 78 (310,807)

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Pension Funds, The Netherlands, Intergenerational Risk Sharing, Lifecycle Savings and Investments

Risk Sharing and Individual Lifecycle Investing in Funded Collective Pensions

Number of pages: 21 Posted: 12 Jan 2011
Eduard H.M. Ponds and Roderick Molenaar
Algemene Pensioen Groep (APG) and Robeco Asset Management
Downloads 49 (396,019)

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pension funds, the Netherlands, intergenerational risk sharing, lifecycle savings and investments

The Impact of Human Capital on Life-Cycle Portfolio Choice: Evidence for the Netherlands

Number of pages: 14 Posted: 17 Feb 2011
Ingmar Minderhoud, Roderick Molenaar and Eduard H.M. Ponds
Tilburg University, Robeco Asset Management and Algemene Pensioen Groep (APG)
Downloads 67 (339,177)

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life-cycle investment, human capital, wage profiles, co-integration, vector error correction model, dynamic portfolio choice

The Impact of Human Capital on Life-Cycle Portfolio Choice: Evidence for the Netherlands

Netspar Discussion Paper No. 10/2011-006
Number of pages: 16 Posted: 21 Feb 2011 Last Revised: 27 Oct 2011
Ingmar Minderhoud, Roderick Molenaar and Eduard H.M. Ponds
Tilburg University, Robeco Asset Management and Algemene Pensioen Groep (APG)
Downloads 37 (443,726)

Abstract:

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life-cycle investment, human capital, wage profiles, co-integration, vector error correction model, dynamic portfolio choice