cv24.pdf
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… collective investments Completed • Rasmus Lönn (2019) High-dimensional asset pricing and portfolio optimization • Alessandro Pollastri (2018) Tales on tails • Anna Wisniewska (2016) Essays on long-run risk • Mukul Tyagi (2016) Risk in pension plans • Rogier Quaedvlieg (2016) Risk and uncertainty • Anne Balter (2016) Model uncertainty: the effect on robustness, estimation and stochastic optimisation • Sally Shen (2015) Robust asset allocation in incomplete markets • Bart Diris (2011) Strategic asset … on Pension Plans and Product Design, Stockholm, June 8–9, 2009 (with Magnus Dahlquist and Frank de Jong) − European Finance Association Annual Meeting, Maastricht, August 18–21, 2004, co-chair program committee and local organisation (with Christian Wolff) − Member of program committee for annual conferences of the Econometric Society European Meeting, European Finance Association, and Society for Financial Econometrics (SOFIE) (various years) − Two-day international workshop “Financial … SSRN. Published in international journals Empirical asset pricing with many test assets, Journal of Financial Econometrics 22, 1236-1263, 2024 (with Rasmus Lönn) Hedging long-term liabilities, Journal of Financial Econometrics 20, 505-538, 2022 (with Rogier Quaedvlieg) What does a term structure model imply about very long-term discount rates? Journal of Empirical Finance 62, 202-219, 2021 (with Anne Balter and Antoon Pelsser) Robust long-term interest rate risk hedging in incomplete bond markets, …