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Arjen Siegmann

Personal Details

First Name:Arjen
Middle Name:
Last Name:Siegmann
Suffix:
RePEc Short-ID:psi50
http://personal.vu.nl/a.h.siegmann/

Affiliation

School of Business and Economics
Vrije Universiteit Amsterdam

Amsterdam, Netherlands
http://sbe.vu.nl/

:


RePEc:edi:fewvunl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Pieter Gautier & Arjen Siegmann & Aico van Vuuren, 2017. "Real-Estate Agent Commission Structure and Sales Performance," Tinbergen Institute Discussion Papers 17-049/VI, Tinbergen Institute.
  2. Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.
  3. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.
  4. Denitsa Stefanova & Arjen Siegmann & Marcin Zamojski, 2014. "Hedge Fund Innovation," LSF Research Working Paper Series 14-13, Luxembourg School of Finance, University of Luxembourg.
  5. Dirk Schoenmaker & Arjen Siegmann, 2013. "Efficiency Gains of a European Banking Union," Tinbergen Institute Discussion Papers 13-026/IV/DSF51, Tinbergen Institute.
  6. Dirk Schoenmaker & Arjen Siegmann, 2012. "Can European Bank Bailouts work?," Tinbergen Institute Discussion Papers 12-111/IV/DSF43, Tinbergen Institute.
  7. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  8. Kräussl, Roman & Lucas, André & Siegmann, Arjen, 2010. "Risk aversion under preference uncertainty," CFS Working Paper Series 2010/24, Center for Financial Studies (CFS).
  9. Arjen Siegmann, 2008. "Minimum Funding Ratios for Defined-Benefit Pension Funds," DNB Working Papers 180, Netherlands Central Bank, Research Department.
  10. Marco Hoeberichts & Maarten van Rooij & Arjen Siegmann, 2008. "Market Thinness, List Price Revisions and Time to Sell: Evidence from a large-scale housing dataset," DNB Working Papers 176, Netherlands Central Bank, Research Department.
  11. Gautier, Pieter A & Siegmann, Arjen & van Vuuren, Aico, 2007. "The Effect of the Theo van Gogh Murder on House Prices in Amsterdam," CEPR Discussion Papers 6175, C.E.P.R. Discussion Papers.
  12. Maarten van Rooij & Arjen Siegmann & Peter Vlaar, 2007. "Market Valuation, Pension Fund Policy and Contribution Volatility," DNB Working Papers 159, Netherlands Central Bank, Research Department.
  13. M.C.J. van Rooij & A.H. Siegmann & P.J.G. Vlaar, 2004. "Palmnet: A pension asset and liability model for the Netherlands," WO Research Memoranda (discontinued) 760, Netherlands Central Bank, Research Department.
  14. Arjen Siegmann, 2003. "Shortfall allowed: loss aversion and habit formation," WO Research Memoranda (discontinued) 741, Netherlands Central Bank, Research Department.
  15. A.H. Siegmann, 2003. "Optimal Investment Policies for Defined Benefit Pension Funds," WO Research Memoranda (discontinued) 728, Netherlands Central Bank, Research Department.
  16. Lucas, Andre & Molenkamp, Jan Bertus & Siegmann, Arjen, 2002. "De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen," Serie Research Memoranda 0002, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  17. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
  18. Arjen H. Siegmann, 2001. "Optimal Saving Rules for Loss-Averse Agents under Uncertainty," Tinbergen Institute Discussion Papers 01-079/4, Tinbergen Institute.
  19. Arjen H. Siegmann & André Lucas, 2000. "Analytic Decision Rules for Financial Stochastic Programs," Tinbergen Institute Discussion Papers 00-041/2, Tinbergen Institute.

Articles

  1. Schoenmaker, Dirk & Siegmann, Arjen, 2014. "Can European bank bailouts work?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 334-349.
  2. Kräussl, Roman & Lucas, André & Siegmann, Arjen, 2012. "Risk aversion under preference uncertainty," Finance Research Letters, Elsevier, vol. 9(1), pages 1-7.
  3. Siegmann, Arjen, 2011. "Minimum funding ratios for defined-benefit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(03), pages 417-434, July.
  4. Gautier, Pieter A. & Siegmann, Arjen & Van Vuuren, Aico, 2009. "Terrorism and attitudes towards minorities: The effect of the Theo van Gogh murder on house prices in Amsterdam," Journal of Urban Economics, Elsevier, vol. 65(2), pages 113-126, March.
  5. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March.
  6. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1-2), pages 200-226.
  7. Siegmann, Arjen, 2007. "Optimal investment policies for defined benefit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 6(01), pages 1-20, March.
  8. Arjen Siegmann & André Lucas, 2005. "Discrete-Time Financial Planning Models Under Loss-Averse Preferences," Operations Research, INFORMS, vol. 53(3), pages 403-414, June.
  9. Siegmann, Arjen, 2004. "Comment on Hovanov, Kolari and Sokolov: a stable currency numeraire?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1505-1510, June.
  10. Siegmann, Arjen, 2002. "Optimal saving rules for loss-averse agents under uncertainty," Economics Letters, Elsevier, vol. 77(1), pages 27-34, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Denitsa Stefanova & Arjen Siegmann & Marcin Zamojski, 2014. "Hedge Fund Innovation," LSF Research Working Paper Series 14-13, Luxembourg School of Finance, University of Luxembourg.

    Cited by:

    1. Agarwal, Vikas & Mullally, Kevin A. & Naik, Narayan Y., 2015. "The Economics and Finance of Hedge Funds: A Review of the Academic Literature," Foundations and Trends(R) in Finance, now publishers, vol. 10(1), pages 1-111, December.

  2. Dirk Schoenmaker & Arjen Siegmann, 2013. "Efficiency Gains of a European Banking Union," Tinbergen Institute Discussion Papers 13-026/IV/DSF51, Tinbergen Institute.

    Cited by:

    1. Beck, Thorsten & Wagner, Wolf, 2013. "Supranational Supervision - How Much and for Whom?," CEPR Discussion Papers 9546, C.E.P.R. Discussion Papers.
    2. Marius A. Zoican & Lucyna A. Górnicka, 2013. "Banking Unions: Distorted Incentives and Efficient Bank Resolution," Tinbergen Institute Discussion Papers 13-184/VI, Tinbergen Institute, revised 16 May 2014.
    3. Vasile COCRIS & Igor TURCANU & Stanislav PERCIC, 2014. "Towards A European Banking Union: Risks And Challenges," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 219-227, December.
    4. Belke, Ansgar & Dobrzańska, Anna & Gros, Daniel & Smaga, Paweł, 2016. "(When) should a non-euro country join the banking union?," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 4-19.
    5. Marius Andrei Zoican & Lucyna Anna Gornicka, 2014. "Banking Union Optimal Design under Moral Hazard," 2014 Papers pzo33, Job Market Papers.
    6. Belke, Ansgar & Dobrzańska, Anna & Gros, Daniel & Smaga, Paweł, 2016. "(When) should a non-euro country join the banking union?," Ruhr Economic Papers 613, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

  3. Dirk Schoenmaker & Arjen Siegmann, 2012. "Can European Bank Bailouts work?," Tinbergen Institute Discussion Papers 12-111/IV/DSF43, Tinbergen Institute.

    Cited by:

    1. Tsionas, Efthymios G. & Assaf, A. George & Matousek, Roman, 2015. "Dynamic technical and allocative efficiencies in European banking," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 130-139.
    2. Jan Kolesnik, 2013. "Europejska unia bankowa – nowy wymiar ryzyka systemowego. (European Banking Union – a new dimension of systemic risk.)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 11(42), pages 91-111.
    3. Thomas Conlon & John Cotter, 2015. "Eurozone bank resolution and Bail-In - Intervention, triggers and writedowns," Working Papers 201501, Geary Institute, University College Dublin.
    4. Górnicka, Lucyna A. & Zoican, Marius A., 2016. "Too-international-to-fail? Supranational bank resolution and market discipline," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 41-58.
    5. Vollmer Uwe, 2016. "The Asymmetric Implementation of the European Banking Union (EBU): Consequences for Financial Stability," International Journal of Management and Economics, De Gruyter Open, vol. 50(1), pages 7-26, June.
    6. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  4. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.

    Cited by:

    1. Soumaya Ben Khelifa & Dorra Mezzez Hmaied, 2016. "Do European hedge fund managers time market liquidity?," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 393-407, October.

  5. Arjen Siegmann, 2008. "Minimum Funding Ratios for Defined-Benefit Pension Funds," DNB Working Papers 180, Netherlands Central Bank, Research Department.

    Cited by:

    1. Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J., 2017. "Sustainability of participation in collective pension schemes: An option pricing approach," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 182-196.
    2. Damiaan Chen & Roel Beetsma & Dirk Broeders, 2015. "Stability of participation in collective pension schemes: An option pricing approach," DNB Working Papers 484, Netherlands Central Bank, Research Department.
    3. An Chen & Filip Uzelac, 2015. "Portability, Salary and Asset Price Risk: A Continuous-Time Expected Utility Comparison of DB and DC Pension Plans," Risks, MDPI, Open Access Journal, vol. 3(1), pages 1-26, March.
    4. Eichhorst, Werner & Gerard, Maarten & Kendzia, Michael J. & Mayrhuber, Christine & Nielsen, Conny & Rünstler, Gerhard & Url, Thomas, 2011. "Report No. 42: Pension Systems in the EU – Contingent Liabilities and Assets in the Public and Private Sector," IZA Research Reports 42, Institute for the Study of Labor (IZA).

  6. Gautier, Pieter A & Siegmann, Arjen & van Vuuren, Aico, 2007. "The Effect of the Theo van Gogh Murder on House Prices in Amsterdam," CEPR Discussion Papers 6175, C.E.P.R. Discussion Papers.

    Cited by:

    1. Alberto Abadie & Sofia Dermisi, 2006. "Is Terrorism Eroding Agglomeration Economies in Central Business Districts? Lessons from the Office Real Estate Market in Downtown Chicago," NBER Working Papers 12678, National Bureau of Economic Research, Inc.
    2. Marco Hoeberichts & Maarten van Rooij & Arjen Siegmann, 2008. "Market Thinness, List Price Revisions and Time to Sell: Evidence from a large-scale housing dataset," DNB Working Papers 176, Netherlands Central Bank, Research Department.
    3. Gautier, Pieter A. & Siegmann, Arjen & Van Vuuren, Aico, 2009. "Terrorism and attitudes towards minorities: The effect of the Theo van Gogh murder on house prices in Amsterdam," Journal of Urban Economics, Elsevier, vol. 65(2), pages 113-126, March.

  7. Maarten van Rooij & Arjen Siegmann & Peter Vlaar, 2007. "Market Valuation, Pension Fund Policy and Contribution Volatility," DNB Working Papers 159, Netherlands Central Bank, Research Department.

    Cited by:

    1. Dirk Broeders & Paul Hilbers & David Rijsbergen, 2013. "What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds," DNB Working Papers 368, Netherlands Central Bank, Research Department.

  8. M.C.J. van Rooij & A.H. Siegmann & P.J.G. Vlaar, 2004. "Palmnet: A pension asset and liability model for the Netherlands," WO Research Memoranda (discontinued) 760, Netherlands Central Bank, Research Department.

    Cited by:

    1. M.C.J. van Rooij & C.J.M. Kool & H.M. Prast, 2005. "Risk-return preferences in the pension domain: are people able to choose?," Working Papers 05-04, Utrecht School of Economics.
    2. Streutker, Matthijs & van der Vlerk, Maarten & Klein Haneveld, Wim, 2007. "Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds," Research Report 07005, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    3. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department.
    4. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department.
    5. Allard Bruinshoofd & Sybille Grob, 2006. "Do changes in pension incentives affect retirement? A stated preferences approach to Dutch retirement consideration," DNB Working Papers 115, Netherlands Central Bank, Research Department.
    6. Jacob A. Bikker & Peter J.G. Vlaar, 2006. "Conditional Indexation in Defined Benefit Pension Plans," DNB Working Papers 086, Netherlands Central Bank, Research Department.
    7. Maarten van Rooij & Arjen Siegmann & Peter Vlaar, 2007. "Market Valuation, Pension Fund Policy and Contribution Volatility," DNB Working Papers 159, Netherlands Central Bank, Research Department.

  9. A.H. Siegmann, 2003. "Optimal Investment Policies for Defined Benefit Pension Funds," WO Research Memoranda (discontinued) 728, Netherlands Central Bank, Research Department.

    Cited by:

    1. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department.
    2. Arjen Siegmann, 2008. "Minimum Funding Ratios for Defined-Benefit Pension Funds," DNB Working Papers 180, Netherlands Central Bank, Research Department.
    3. Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2012. "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Economics Series 294, Institute for Advanced Studies.
    4. Sofia Babilis & Valpy Fitzgerald, 2005. "Risk Appetite, Home Bias and the Unstable Demand for Emerging Market Assets," International Review of Applied Economics, Taylor & Francis Journals, vol. 19(4), pages 459-476.
    5. Ines Fortin & Jaroslava Hlouskova, 2015. "Downside loss aversion: Winner or loser?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 181-233, April.
    6. Fortin, Ines & Hlouskova, Jaroslava, 2012. "Optimal Asset Allocation under Quadratic Loss Aversion," Economics Series 291, Institute for Advanced Studies.

  10. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.

    Cited by:

    1. Morton, David P. & Popova, Elmira & Popova, Ivilina, 2006. "Efficient fund of hedge funds construction under downside risk measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 503-518, February.

  11. Arjen H. Siegmann, 2001. "Optimal Saving Rules for Loss-Averse Agents under Uncertainty," Tinbergen Institute Discussion Papers 01-079/4, Tinbergen Institute.

    Cited by:

    1. Horst Zank, 2007. "On the Paradigm of Loss Aversion," The School of Economics Discussion Paper Series 0710, Economics, The University of Manchester.
    2. Park Hyeon, 2016. "Loss Aversion and Consumption Plans with Stochastic Reference Points," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 16(1), pages 303-336, January.
    3. Horst Zank, 2010. "On probabilities and loss aversion," Theory and Decision, Springer, vol. 68(3), pages 243-261, March.

  12. Arjen H. Siegmann & André Lucas, 2000. "Analytic Decision Rules for Financial Stochastic Programs," Tinbergen Institute Discussion Papers 00-041/2, Tinbergen Institute.

    Cited by:

    1. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
    2. Serguei Kaniovski, 2003. "Risk-Averse Monopolist with Aspiration," WIFO Working Papers 196, WIFO.

Articles

  1. Schoenmaker, Dirk & Siegmann, Arjen, 2014. "Can European bank bailouts work?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 334-349.
    See citations under working paper version above.
  2. Siegmann, Arjen, 2011. "Minimum funding ratios for defined-benefit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(03), pages 417-434, July.
    See citations under working paper version above.
  3. Gautier, Pieter A. & Siegmann, Arjen & Van Vuuren, Aico, 2009. "Terrorism and attitudes towards minorities: The effect of the Theo van Gogh murder on house prices in Amsterdam," Journal of Urban Economics, Elsevier, vol. 65(2), pages 113-126, March.

    Cited by:

    1. Aviad Tur-Sinai, 2014. "Adaptation patterns and consumer behavior as a dependency on terror," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 13(2), pages 257-269, November.
    2. David Albouy & Bert Lue, 2014. "Driving to Opportunity: Local Rents, Wages, Commuting Costs and Sub-Metropolitan Quality of Life," NBER Working Papers 19922, National Bureau of Economic Research, Inc.
    3. Kjellander, Josef & Nilsson, Viktor & van Vuuren, Aico, 2018. "The impact of the announcement of temporary building sites for refugees on house prices in Gothenburg," Working Papers in Economics 720, University of Gothenburg, Department of Economics.
    4. Martin, Philippe & Mayer, Thierry & Mayneris, Florian, 2011. "Spatial concentration and plant-level productivity in France," Journal of Urban Economics, Elsevier, vol. 69(2), pages 182-195, March.
    5. Gautier, Pieter & Siegmann, Arjen & van Vuuren , Aico, 2017. "Real-Estate Agent Commission Structure and Sales Performance," Working Papers in Economics 692, University of Gothenburg, Department of Economics.
    6. Elster, Yael & Zussman, Asaf & Zussman, Noam, 2017. "Rockets: The housing market effects of a credible terrorist threat," Journal of Urban Economics, Elsevier, vol. 99(C), pages 136-147.
    7. Cobb-Clark, Deborah A. & Sinning, Mathias G., 2009. "Neighborhood Diversity and the Appreciation of Native- and Immigrant-Owned Homes," Ruhr Economic Papers 137, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    8. Albouy, David & Lue, Bert, 2015. "Driving to opportunity: Local rents, wages, commuting, and sub-metropolitan quality of life," Journal of Urban Economics, Elsevier, vol. 89(C), pages 74-92.
    9. Ellen, Ingrid Gould & O'Regan, Katherine, 2010. "Crime and urban flight revisited: The effect of the 1990s drop in crime on cities," Journal of Urban Economics, Elsevier, vol. 68(3), pages 247-259, November.
    10. van Ommeren, Jos & Wentink, Derk & Dekkers, Jasper, 2011. "The real price of parking policy," Journal of Urban Economics, Elsevier, vol. 70(1), pages 25-31, July.
    11. Adam Nowak & Juan Sayago-Gomez, 2017. "Homeowner Preferences after September 11th, a Microdata Approach," Working Papers 17-03, Department of Economics, West Virginia University.
    12. Anita Ratcliffe & Stephanie von Hinke Kessler Scholder, 2013. "The London Bombings and Racial Prejudice: Evidence from Housing and Labour Markets," Working Papers 2013013, The University of Sheffield, Department of Economics.
    13. Grier, Kevin & Maynard, Norman, 2016. "The economic consequences of Hugo Chavez: A synthetic control analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 125(C), pages 1-21.
    14. Castillo, Victoria & Figal Garone, Lucas & Maffioli, Alessandro & Salazar, Lina, 2017. "The causal effects of regional industrial policies on employment: A synthetic control approach," Regional Science and Urban Economics, Elsevier, vol. 67(C), pages 25-41.
    15. Stuart S. Rosenthal & Amanda Ross, 2010. "Violent Crime, Entrepreneurship, and Cities," NBER Chapters,in: Cities and Entrepreneurship National Bureau of Economic Research, Inc.
    16. Scheiner, Joachim, 2018. "Transport costs seen through the lens of residential self-selection and mobility biographies," Transport Policy, Elsevier, vol. 65(C), pages 126-136.
    17. O'Flaherty, Brendan & Sethi, Rajiv, 2010. "The racial geography of street vice," Journal of Urban Economics, Elsevier, vol. 67(3), pages 270-286, May.
    18. O'Flaherty, Brendan & Sethi, Rajiv, 2010. "Homicide in black and white," Journal of Urban Economics, Elsevier, vol. 68(3), pages 215-230, November.
    19. O’Flaherty, Brendan & Sethi, Rajiv, 2015. "Urban Crime," Handbook of Regional and Urban Economics, Elsevier.
    20. Ahmed Elsayed & Andries Grip, 2018. "Terrorism and the integration of Muslim immigrants," Journal of Population Economics, Springer;European Society for Population Economics, vol. 31(1), pages 45-67, January.

  4. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March.
    See citations under working paper version above.
  5. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1-2), pages 200-226.

    Cited by:

    1. Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2012. "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Economics Series 294, Institute for Advanced Studies.
    2. Madalina Gabriela ANGHEL & Gyorgy BODO & Okwiet BARTEK, 2016. "Model of Static Portfolio Choices," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 49-53, January.
    3. Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
    4. Ines Fortin & Jaroslava Hlouskova, 2015. "Downside loss aversion: Winner or loser?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 181-233, April.
    5. Fortin, Ines & Hlouskova, Jaroslava, 2012. "Optimal Asset Allocation under Quadratic Loss Aversion," Economics Series 291, Institute for Advanced Studies.

  6. Siegmann, Arjen, 2007. "Optimal investment policies for defined benefit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 6(01), pages 1-20, March.
    See citations under working paper version above.
  7. Arjen Siegmann & André Lucas, 2005. "Discrete-Time Financial Planning Models Under Loss-Averse Preferences," Operations Research, INFORMS, vol. 53(3), pages 403-414, June.

    Cited by:

    1. Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2012. "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Economics Series 294, Institute for Advanced Studies.
    2. Michael Best & Robert Grauer & Jaroslava Hlouskova & Xili Zhang, 2014. "Loss-Aversion with Kinked Linear Utility Functions," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 45-65, June.
    3. Ines Fortin & Jaroslava Hlouskova, 2015. "Downside loss aversion: Winner or loser?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 181-233, April.
    4. Fortin, Ines & Hlouskova, Jaroslava, 2012. "Optimal Asset Allocation under Quadratic Loss Aversion," Economics Series 291, Institute for Advanced Studies.

  8. Siegmann, Arjen, 2002. "Optimal saving rules for loss-averse agents under uncertainty," Economics Letters, Elsevier, vol. 77(1), pages 27-34, September. See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-URE: Urban & Real Estate Economics (6) 2007-02-17 2007-03-03 2007-03-17 2008-05-31 2017-02-19 2017-06-11. Author is listed
  2. NEP-RMG: Risk Management (3) 2003-07-13 2008-10-28 2016-09-04
  3. NEP-CBA: Central Banking (2) 2013-03-02 2016-09-04
  4. NEP-CFN: Corporate Finance (2) 2003-07-13 2004-03-14
  5. NEP-CMP: Computational Economics (2) 2008-01-05 2012-12-15
  6. NEP-EEC: European Economics (2) 2013-03-02 2016-09-04
  7. NEP-FIN: Finance (2) 2003-10-12 2004-03-14
  8. NEP-FMK: Financial Markets (2) 2014-11-12 2014-11-17
  9. NEP-MAC: Macroeconomics (2) 2008-05-31 2008-10-28
  10. NEP-UPT: Utility Models & Prospect Theory (2) 2008-10-28 2011-02-26
  11. NEP-BAN: Banking (1) 2012-12-15
  12. NEP-EFF: Efficiency & Productivity (1) 2013-03-02
  13. NEP-EUR: Microeconomic European Issues (1) 2017-06-11
  14. NEP-GEO: Economic Geography (1) 2007-03-03
  15. NEP-IAS: Insurance Economics (1) 2008-10-28
  16. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2008-01-05
  17. NEP-MKT: Marketing (1) 2008-05-31
  18. NEP-POL: Positive Political Economics (1) 2012-12-15

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