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Information about:
Roy Kouwenberg

Personal Details | Affiliation | Works
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Personal Details

First Name: Roy
Middle Name:
Last Name: Kouwenberg
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RePEc Short-ID: pko16

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Homepage: http://people.few.eur.nl/kouwenberg/
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Kouwenberg, Roy & Salomons, Roelof, 2003. "Value investing in emerging markets : local macroeconomic risk and extrapolation," Research Report 03E22, University of Groningen, Research Institute SOM (Systems, Organisations and Management). [Downloadable!]

  2. A. Berkelaar & R. Kouwenberg, 2000. "From boom til bust," Econometric Institute Report 196, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  3. A.B. Berkelaar & R.R.P. Kouwenberg, 2000. "Dynamic asset allocation and downside-risk aversion," Econometric Institute Report 190, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  4. A. Berkelaar & R. Kouwenberg, 2000. "Optimal portfolio choice under loss aversion," Econometric Institute Report 187, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  5. A.B. Berkelaar & R. Kouwenberg, 1999. "Retirement saving with contribution payments and labor income as a benchmark for investments," Econometric Institute Report 181, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
    Published as:

  6. A.B. Berkelaar & R. Kouwenberg, 1999. "Investing in a real world with mean-reverting inflation," Econometric Institute Report 182, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  7. Roy Kouwenberg & Jacek Gondzio & Ton Vorst, 1999. "Hedging Options under Transaction Costs and Stochastic Volatility," Computing in Economics and Finance 1999 911, Society for Computational Economics.
    Published as:

Articles

  1. Berkelaar, Arjan & Kouwenberg, Roy, 2009. "From boom [`]til bust: How loss aversion affects asset prices," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1005-1013, June. [Downloadable!] (restricted)

  2. Kouwenberg, Roy & Ziemba, William T., 2007. "Incentives and risk taking in hedge funds," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3291-3310, November. [Downloadable!] (restricted)

  3. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April. [Downloadable!] (restricted)

  4. Arjan B. Berkelaar & Roy Kouwenberg & Thierry Post, 2004. "Optimal Portfolio Choice under Loss Aversion," The Review of Economics and Statistics, MIT Press, vol. 86(4), pages 973-987, 02. [Downloadable!] (restricted)
    Other versions:

  5. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April. [Downloadable!] (restricted)
    Other versions:

  6. Berkelaar, Arjan & Kouwenberg, Roy, 2003. "Retirement saving with contribution payments and labor income as a benchmark for investments," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1069-1097, April. [Downloadable!] (restricted)
    Other versions:

  7. Arjan Berkelaar & Phornchanok Cumperayot & Roy Kouwenberg, 2002. "The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile," European Financial Management, Blackwell Publishing Ltd, vol. 8(2), pages 139-164. [Downloadable!] (restricted)

  8. Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October. [Downloadable!] (restricted)

  9. Monique, W.M. Donders & Roy Kouwenberg & Ton, C. F. Vorst, 2000. "Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity," European Financial Management, Blackwell Publishing Ltd, vol. 6(2), pages 149-171. [Downloadable!] (restricted)

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-FIN: Finance (1) 2000-01-31
  2. NEP-FMK: Financial Markets (2) 2001-10-22 2001-10-22 Author is listed
  3. NEP-LAB: Labour Economics (1) 2000-01-31
  4. NEP-MAC: Macroeconomics (1) 2003-09-24
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This page was last updated on 2009-11-11.

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