Working papers

• Limits to arbitrage: Time-varying Market Neutrality of Hedge funds, with Denitsa Stefanova.
• Short-put exposures in hedge fund returns: Are they really there?, with André Lucas and Marno Verbeek.
• Minimum Funding Ratios for Defined-Benefit Pension Funds, DNB Working paper 180, September 2008.
• Market Thinness, List Price Revisions and Time to Sell: Evidence from a large-scale housing dataset, with Marco Hoeberichts and Maarten van Rooij; DNB Working paper 176, May 2008.

Publications

• Terrorism and attitudes towards minorities: the effect of the Theo van Gogh murder on house prices in Amsterdam, with Pieter Gautier and Aico van Vuuren, Journal of Urban Economics, 2009, 65(1), pp. 113 – 126.
• The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds, with André Lucas; Journal of Business, Finance and Accounting, 2008, 35(1), pp. 200 – 226 .
• Market Valuation, Pension Fund Policy and Contribution Volatility, with Maarten van Rooij and Peter Vlaar; De Economist, 2008, 156(1), pp. 73 – 93.
• Optimal Investment Policies for Defined Benefit Pension Funds, Journal of Pension Economics and Finance, 2007, 6(1), pp. 1 – 20.
• Het effect van de moord op Theo van Gogh op huizenprijzen in Amsterdam (in Dutch), with Pieter Gautier and Aico van Vuuren; Tijdschrift Politieke Ekonomie, 2006, 27(6), pp. 5 – 19.
• Het FTK: Kritiek op de kritiek (in Dutch), Nederlands Pensioen & Beleggingsnieuws, June/July 2006, pp. 25 – 27.
• Bluff your way into hedge funds, Fiducie, March 2006.
• Discrete-time financial planning models under loss-averse preferences, with André Lucas; Operations Research, 2005, 53(3), p. 403 – 414.
• Beleidsopties voor pensioenfondsen (in Dutch), with Maarten van Rooij and Peter Vlaar; Economische Statistische Berichten (ESB), 2005, 90, nr. 4456, pp. 124 – 127.
• De consequenties van fair value bij pensioenfondsen: Een analyse met het DNB pensioenmodel PALMNET (in Dutch), with Maarten van Rooij and Peter Vlaar; De Actuaris, 2005, 12(3), pp. 17 – 20.
• PALMNET: een Pensioen Asset en Liability Model voor Nederland, with Maarten van Rooij and Peter Vlaar), WO Research Memoranda, 2004, no. 760, Netherlands Central Bank (DNB).
• Comment on Hovanov, Kolari and Sokolov: A stable currency numeraire?, Journal of Economic Dynamics and Control, 2004, 28(8), pp. 1505 – 1510.
• Shortfall Allowed: Loss Aversion and Habit Formation, WO Research Memoranda, no. 741, Netherlands Central Bank (DNB).
• Beter pensioentoezicht door discriminatie (in Dutch), with Jan Bertus Molenkamp; Economische Statistische Berichten (ESB), 2003, 88(4393), p. 32.
• Optimal Financial Decision Making under Loss Averse Preferences, Ph.D. thesis, Vrije Universiteit Amsterdam (defended 7 januari 2003). Tinbergen Insitute Research Series, nr. 302 (ISBN 90-5170-671-5). .
• Pensioenfondsen: Omgaan met onvermijdbare risico’s (in Dutch), with André Lucas and Jan Bertus Molenkamp; Economisch Statistische Berichten, Feb. 1, 2002, 87, nr. 4345, pp. 88 – 89.
• Optimal saving rules for loss-averse agents under uncertainty, Economics Letters, 2002, 77(1), pp. 27 – 34.
• Book review: Worldwide Asset and Liability Modeling by W.T. Ziemba and J.M. Mulvey (eds.), Cambridge University Press, Cambridge, 1998., European Journal of Operations Research, 2000, 122(1), pp. 173 – 174.
• Continuous-time dynamic programming for ALM with Risk averse loss functions, in: Proceedings of the 9th International AFIR Colloquium 1999, Tokyo, The Institute of Actuaries of Japan, pp. 183 – 193.