Roderick Molenaar

affiliation not provided to SSRN

SCHOLARLY PAPERS

12

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Top 16,082

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95

Scholarly Papers (12)

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1.

Empirical evidence on the stock-bond correlation

Number of pages: 52 Posted: 26 Jul 2023 Last Revised: 09 Feb 2024
Roderick Molenaar, Edouard Senechal, Laurens Swinkels and Zhenping Wang
affiliation not provided to SSRN, State of Wisconsin Investment Board, Erasmus University Rotterdam (EUR) and PGIM Quant Solutions
Downloads 4,641 (4,570)
Citation 1

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Bonds, Correlation, Inflation, Interest rates, Stocks

2.

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, affiliation not provided to SSRN and ABP Investments - Research Department
Downloads 3,454 (7,402)
Citation 23

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Commodity futures, market timing

3.

Enhancing Risk Parity by Including Views

Journal of Investing, 2017
Number of pages: 34 Posted: 12 Aug 2014 Last Revised: 20 Sep 2016
Daniel Haesen, Winfried G. Hallerbach, Thijs D. Markwat and Roderick Molenaar
Robeco Investment Research, Fintelligence CCT, Robeco Asset Management and affiliation not provided to SSRN
Downloads 2,356 (13,573)
Citation 1

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

4.

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, affiliation not provided to SSRN, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 1,744 (21,923)
Citation 36

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Strategic asset allocation, asset liability management

5.

Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information

Downloads 1,167 (39,890)
Citation 19

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, affiliation not provided to SSRN, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 893 (57,156)
Citation 13

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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, affiliation not provided to SSRN, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 274 (239,469)
Citation 6

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

6.

Is the Value Premium Predictable in Real Time?

Number of pages: 27 Posted: 18 Sep 2002
Rob Bauer and Roderick Molenaar
Maastricht University and affiliation not provided to SSRN
Downloads 841 (63,068)
Citation 2

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Value Premium, Style Rotation, Recursive Modeling, Model Selection

7.

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

Downloads 728 (76,362)
Citation 1

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

Number of pages: 32 Posted: 09 Dec 2002
Rob Bauer, Jeroen Derwall, Jeroen Derwall and Roderick Molenaar
Maastricht University, Maastricht UniversityMaastricht University - Department of Finance and affiliation not provided to SSRN
Downloads 728 (75,185)
Citation 1

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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

Posted: 25 Dec 2004
Rob Bauer, Jeroen Derwall, Jeroen Derwall and Roderick Molenaar
Maastricht University, Maastricht UniversityMaastricht University - Department of Finance and affiliation not provided to SSRN

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

8.

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 557 (107,339)
Citation 3

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

9.

Public Investment Funds and Value-Based Generational Accounting

Downloads 434 (145,207)
Citation 2

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, affiliation not provided to SSRN and Algemene Pensioen Groep (APG)
Downloads 238 (274,945)
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 affiliation not provided to SSRN
Downloads 196 (331,730)
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

10.

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 225 (292,159)
Citation 6

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

11.

Risk Sharing and Individual Lifecycle Investing in Funded Collective Pensions

Downloads 198 (329,767)

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 affiliation not provided to SSRN
Downloads 107 (552,560)

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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 affiliation not provided to SSRN
Downloads 91 (618,611)

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

12.

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

Downloads 186 (349,400)
Citation 1

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, affiliation not provided to SSRN and Algemene Pensioen Groep (APG)
Downloads 123 (495,924)
Citation 1

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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, affiliation not provided to SSRN and Algemene Pensioen Groep (APG)
Downloads 63 (767,415)

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