R.R.P. (Roy) Kouwenberg

Erasmus School of Economics
Erasmus University Rotterdam
Visiting Member ERIM
Field: Finance & Accounting
Affiliated since 2005

Roy Kouwenberg is a visiting researcher at the Department of Business Economics, at the Erasmus School of Economics (ESE). He is Associate Professor and Chair of the Ph.D. Program at Mahidol University in Bangkok.

His research focuses on portfolio choice in a behavioural framework, especially the impact of loss aversion and ambiguity aversion on stock market participation. He works together in these areas with Peter Wakker (Erasmus, ESE), Remco Zwinkels (Erasmus, ESE), Steve Dimmock (Nanyang), Kim Peijnenburg (Bocconi) and Oliva Mitchell (Wharton).

Roy has published his work in the Review of Economics & Statistics, the Journal of Banking and Finance, the Journal of Empirical Finance and Operations Research.

Roy also worked as a quantitative analyst at AEGON Asset Management and has done extensive research on risk management for financial institutions. He is a CFA charterholder. He regularly teaches Advanced Portfolio Management in the RSM Master in Financial Management Program.

He received his PhD from Erasmus University Rotterdam in 2000.

  • Kouwenberg, R.R.P. & Mentink, A.A. (2006). The Links Between Central, East European and Western Security Markets. In J.A. Batten & C. Kearney (Eds.), Emerging European Financial Markets: Independence and Integration Post-Enlargement (pp. 353-381). Amsterdam: Elsevier JAI.
  • Berkelaar, A.B., Kobor, A. & Kouwenberg, R.R.P. (2006). Advanced Risk Budgeting Techniques. In M. Ong (Ed.), Risk Management: A Modern Perspective (pp. 89-111). Burlington: Academic Press / Elsevier.
  • Kouwenberg, R.R.P. & Zenios, S.A. (2006). Stochastic Programming Models. In S.A. Zenios & W.T. Ziemba (Eds.), Handbook of Asset and Liability Management, Volume 1 (pp. 253-303). Amsterdam: North Holland.
  • Kouwenberg, R.R.P. (2000, Juni 15). Dynamic asset liability management. Erasmus University Rotterdam (169 pag.) (Amsterdam: Thela - Thesis). Prom./coprom.: Prof.Dr. A.C.F. Vorst & J. Spronk.

Address

Visiting address

Office: H14-15
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Latest publication

Berkelaar, A.B. & Kouwenberg, R.R.P. (2010). A Liability-Relative Drawdown Approach to Pension Asset Liability Management. Journal of Asset Management, 11, 194-217.