Antoon Pelsser (A.A.J.)
- 2023-2027: Awarded a €250k research grant from Netspar for the 4-year programme: Optimal Intergenerational Risk Sharing with Reference-Dependent Preferences (shared with Servaas van Bilsen)
- 2018-2021: Awarded a €500k research grant from Netspar for the 3-year programme: Design of Pension Contracts in Incomplete Markets and under Uncertainty (shared with Frank de Jong)
- 2012-2015: NWO-TOP grant (€750 k) for the project Model Uncertainty (shared with Peter Schotman, Franz Palm and Jean-Pierre Urbain)
- 2012-2015: Work Package Leader with the Marie Curie ITN project High Performance Computing in Finance (the WP involves €400 k funding)
- 2009-2012: Awarded a €1 mln research grant from Netspar for the 3-year programme: Value and risk on the balance sheet of pension funds and insurance companies (shared with Peter Schotman and Frank de Jong)
Klerkx, R., & Pelsser, A. (2022). Narrative-based robust stochastic optimization. Journal of Economic Behavior & Organization, 196, 266-277. https://doi.org/10.1016/j.jebo.2022.02.007
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Kamma, T., & Pelsser, A. (2022). Near-optimal asset allocation in financial markets with trading constraints. European Journal of Operational Research, 297(2), 766-781. https://doi.org/10.1016/j.ejor.2021.06.029
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Balter, A. G., Pelsser, A., & Schotman, P. C. (2021). What does a term structure model imply about very long-term interest rates? Journal of Empirical Finance, 62, 202-219. https://doi.org/10.1016/j.jempfin.2021.03.006
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Balter, A. G., & Pelsser, A. (2021). Quantifying ambiguity bounds via time-consistent sets of indistinguishable models. Systems & Control Letters, 149, Article 104877. https://doi.org/10.1016/j.sysconle.2021.104877
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Shen, S., Pelsser, A., & Schotman, P. (2021). Robust long-term interest rate risk hedging in incomplete bond markets. Journal of Pension Economics & Finance, 20(2), 273-300. https://doi.org/10.1017/S1474747220000128
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Antoon Pelsser (A.A.J.)
Full professor - Key domain chair
QE Math. Economics & Game Theory
Quantitative Economics
School of Business and Economics