Coumans: Robust Hedging of Terminal Wealth under Interest Rate Risk with the Constraint Approach Goossens: COVID-19 Crisis: Do Extreme Events Affect Preferences and Trading Behavior? (with Marike Knoef)
Robo-Advising: Optimal Investment with Mismeasured and Unstable Risk Preferences
The Effect of Taxation on Optimal Consumption and Portfolio Decisions Over the Life-cycle
Solving Maxmin Optimization Problems via Population Games (with Anne Balter and Hans Schumacher)
Stated product choice of heterogeneous agents largely consistent with standard models
Pricing carbon under uncertainty: accuracy of simple rules (joint with Ton van den Bremer and Rick van der Ploeg)
Hedging Inflation
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice and Asset Pricing, joint work with Pascal Maenhout from INSEAD and Hao Xing from Boston University.
Comparative Risk Aversion vs. Threshold Choice in the Omega Ratio
Solidarity reserve We examine the reduction of the year on year probability of a pension cut by using the solidarity reserve in the new Dutch pension contract. We find that the use of the solidarity reserve leads to a significant reduction in the probability of a pension cut. The significance of the reduction is determined […]
Fed Tails: FOMC Announcements and Stock Market Uncertainty