Roy Kouwenberg

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Stephen G DimmockNational University of SingaporeVerified email at nus.edu.sg
Kim PeijnenburgEDHEC Business SchoolVerified email at edhec.edu
Olivia S. MitchellProfessor of Insurance/Risk Mgmt & Business Economics/Policy, Univ. of PennsylvaniaVerified email at wharton.upenn.edu
Lukas MenkhoffDIW Berlin and Humboldt-Universität zu BerlinVerified email at diw.de
Antonia GrohmannAarhus UniversityVerified email at econ.au.dk
Remco ZwinkelsVrije Universiteit AmsterdamVerified email at vu.nl
Phornchanok CumperayotAssociate Professor, Faculty of Economics, Chulalongkorn UniversityVerified email at Chula.ac.th
Jacek GondzioProfessor of Optimization, School of Mathematics, Edinburgh UniversityVerified email at ed.ac.uk
Ton VorstFull Professor VU University AmsterdamVerified email at vu.nl
G.T. PostProfessor of Finance, Nazarbayev UniversityVerified email at nu.edu.kz
Visit PhunnarungsiMartin de Tours School of Management and EconomicsVerified email at msme.au.edu
Stavros A. ZeniosUniversity of Cyprus, Wharton Financial Institutions Center (USA), Bruegel (Brussels)Verified email at ucy.ac.cy
Xue Dong HeThe Chinese University of Hong KongVerified email at se.cuhk.edu.hk
Xunyu ZhouLiu Family Professor of IEOR, Columbia UniversityVerified email at columbia.edu
Shuzhong ZhangProfessor of Industrial and Systems Engineering, University of MinnesotaVerified email at umn.edu
Joaquim A. S. GromichoProfessor of Business Analytics, University of AmsterdamVerified email at uva.nl
Nasha AnanchotikulPuey Ungphakorn Institute for Economic ResearchVerified email at bot.or.th

Roy Kouwenberg

Professor of Finance at Mahidol University

Verified email at mahidol.ac.th - Homepage

Finance Investment Behavioral Portfolio Choice ALM


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Optimal portfolio choice under loss aversion AB Berkelaar, R Kouwenberg, T Post Review of Economics and Statistics 86 (4), 973-987, 2004	501	2004
Scenario generation and stochastic programming models for asset liability management R Kouwenberg European Journal of operational research 134 (2), 279-292, 2001	365	2001
Ambiguity aversion and household portfolio choice puzzles: Empirical evidence SG Dimmock, R Kouwenberg, OS Mitchell, K Peijnenburg Journal of Financial Economics 119 (3), 559-577, 2016	340*	2016
Childhood roots of financial literacy A Grohmann, R Kouwenberg, L Menkhoff Journal of Economic Psychology 51, 114-133, 2015	272	2015
Ambiguity attitudes in a large representative sample SG Dimmock, R Kouwenberg, PP Wakker Management Science 62 (5), 1363-1380, 2016	225	2016
Loss-aversion and household portfolio choice SG Dimmock, R Kouwenberg Journal of Empirical Finance 17 (3), 441-459, 2010	195	2010
Incentives and risk taking in hedge funds R Kouwenberg, WT Ziemba Journal of Banking & Finance 31 (11), 3291-3310, 2007	192	2007
High-performance computing for asset-liability management J Gondzio, R Kouwenberg Operations Research 49 (6), 879-891, 2001	158	2001
Stochastic programming models for asset liability management R Kouwenberg, SA Zenios Handbook of asset and liability management, 253-303, 2008	118	2008
Forecasting the US housing market R Kouwenberg, R Zwinkels International Journal of Forecasting 30 (3), 415-425, 2014	98	2014
Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity MWM Donders, R Kouwenberg, TCF Vorst European Financial Management 6 (2), 149-171, 2000	95	2000
Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field SG Dimmock, R Kouwenberg, OS Mitchell, K Peijnenburg Journal of Risk and Uncertainty 51, 219-244, 2015	76	2015
From boom ‘til bust: how loss aversion affects asset prices A Berkelaar, R Kouwenberg Journal of Banking & Finance 33 (6), 1005-1013, 2009	71	2009
Do hedge funds add value to a passive portfolio R Kouwenberg Journal of Asset Management 3 (4), 361-382, 2003	65	2003
Hedging options under transaction costs and stochastic volatility J Gondzio, R Kouwenberg, T Vorst Journal of Economic Dynamics and Control 27 (6), 1045-1068, 2003	61	2003
Linkages between extreme stock market and currency returns P Cumperayot, T Keijzer, R Kouwenberg Journal of International Money and Finance 25 (3), 528-550, 2006	56	2006
Does voluntary corporate governance code adoption increase firm value in emerging markets? Evidence from Thailand R Kouwenberg Evidence from Thailand (November 30, 2006), 2006	51	2006
Endogenous price bubbles in a multi-agent system of the housing market R Kouwenberg, RCJ Zwinkels PloS one 10 (6), e0129070, 2015	50*	2015
Early warning systems for currency crises: A multivariate extreme value approach P Cumperayot, R Kouwenberg Journal of international money and finance 36, 151-171, 2013	48	2013
The effect of VaR based risk management on asset prices and the volatility smile A Berkelaar, P Cumperayot, R Kouwenberg European Financial Management 8 (2), 139-164, 2002	44	2002

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