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1

Optimal Portfolio Choice under Loss Aversion

Berkelaar, Arjan B., Kouwenberg, Roy, Post, Thierry

Journal:

Review of Economics and Statistics

Year:

2004

Language:

english

File:

PDF, 562 KB

english, 2004

2

A liability-relative drawdown approach to pension asset liability management

Berkelaar, Arjan, Kouwenberg, Roy

Journal:

Journal of Asset Management

Year:

2010

Language:

english

File:

PDF, 390 KB

english, 2010

3

The Sense and Nonsense of Risk Budgeting

Arjan B. Berkelaar, Adam Kobor and Masaki Tsumagari

Journal:

Financial Analysts Journal

Year:

2006

Language:

english

File:

PDF, 2.32 MB

english, 2006

4

From boom ‘til bust: How loss aversion affects asset prices

Arjan Berkelaar, Roy Kouwenberg

Journal:

Journal of Banking & Finance

Year:

2009

Language:

english

File:

PDF, 270 KB

english, 2009

5

Retirement saving with contribution payments and labor income as a benchmark for investments

Arjan Berkelaar, Roy Kouwenberg

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 277 KB

english, 2003

6

A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming

Berkelaar, Arjan, Dert, Cees, Oldenkamp, Bart, Zhang, Shuzhong

Journal:

Operations Research

Year:

2002

Language:

english

File:

PDF, 235 KB

english, 2002

7

The Sense and Nonsense of Risk Budgeting

Berkelaar, Arjan B., Kobor, Adam, Tsumagari, Masaki

Journal:

Financial Analysts Journal

Year:

2006

Language:

english

File:

PDF, 740 KB

english, 2006

8

Polynomial primal-dual cone affine scaling for semidefinite programming

Arjan B. Berkelaar, Jos F. Sturm, Shuzhong Zhang

Journal:

Applied Numerical Mathematics

Year:

1999

Language:

english

File:

PDF, 783 KB

english, 1999

9

A Primal-Dual Decomposition Algorithm for Multistage Stochastic Convex Programming

Arjan Berkelaar, Joaquim A. S. Gromicho, Roy Kouwenberg, Shuzhong Zhang

Journal:

Mathematical Programming

Year:

2005

Language:

english

File:

PDF, 388 KB

english, 2005

10

Basis- and partition identification for quadratic programming and linear complementarity problems

Arjan B. Berkelaar, Benjamin Jansen, Kees Roos, Tamás Terlaky

Journal:

Mathematical Programming

Year:

1999

Language:

english

File:

PDF, 159 KB

english, 1999

11

The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile

Arjan Berkelaar, Phornchanok Cumperayot, Roy Kouwenberg

Journal:

European Financial Management

Year:

2002

Language:

english

File:

PDF, 557 KB

english, 2002

12

Optimal Portfolio Choice under Loss Aversion

Arjan B. Berkelaar, Roy Kouwenberg and Thierry Post

Journal:

Review of Economics and Statistics

Year:

2004

Language:

english

File:

PDF, 3.10 MB

english, 2004

13

Risk Management || Advanced Risk Budgeting Techniques

Berkelaar, Arjan B.

Year:

2006

Language:

english

File:

PDF, 1.24 MB

english, 2006

14

A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming

Arjan Berkelaar, Cees Dert, Bart Oldenkamp and Shuzhong Zhang

Journal:

Operations Research

Year:

2002

Language:

english

File:

PDF, 434 KB

english, 2002

15

Optimal Portfolio Choice Under Loss Aversion

Berkelaar, Arjan B., Kouwenberg, Roy R.P., Post, Thierry

Journal:

SSRN Electronic Journal

Year:

2000

Language:

english

File:

PDF, 282 KB

english, 2000

16

The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile

Berkelaar, Arjan B., Cumperayot, Phomchanok, Kouwenberg, Roy R.P.

Journal:

SSRN Electronic Journal

Year:

2001

File:

PDF, 1.11 MB

2001

17

The Sense and Nonsense of Risk Budgeting

Berkelaar, Arjan B., Kobor, Adam, Tsumagari, Masaki

Journal:

Financial Analysts Journal

Year:

2006

File:

PDF, 740 KB

2006

18

From Boom til Bust: How Loss Aversion Affects Asset Prices

Kouwenberg, Roy R.P., Berkelaar, Arjan B.

Journal:

SSRN Electronic Journal

Year:

2000

Language:

english

File:

PDF, 234 KB

english, 2000