Dr. R.R.P. (Roy) Kouwenberg

Roy Kouwenberg
Erasmus School of Economics (ESE)
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 collaborates in this area with Peter Wakker (Erasmus, ESE), Steve Dimmock (Nanyang Technological University, Singapore), Kim Peijnenburg (Bocconi, Milan), Oliva Mitchell (Wharton School, U of Pennsylvania), Xuedong He (Columbia University), Xunyu Zhou (Oxford University) and Remco Zwinkels (VU University, Amsterdam).

 

Roy's work has been published in the *Journal of Financial Economics, Management Science,* the *Journal of Financial and Quantitative Analysis* and the *Review of Economics & Statistics*, among others.

 

Roy has work experience as a quantitative analyst at AEGON Asset Management and has done extensive research on risk management for financial institutions. He is a CFA charterholder (Chartered Financial Analyst). Roy received his Ph.D. from Erasmus University Rotterdam in 2000.

Publications

Article (29)

  • Academic (29)

    • Cumperayot, P., & Kouwenberg, R. (2021). The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates. International Economics, 166, 167-176. https://doi.org/10.1016/j.inteco.2020.12.005

    • Cumperayot, P., & Kouwenberg, R. (Accepted/In press). Cheaper currencies and long-term growth: The effect of exchange rate management and capital controls. World Economy, 44(9), 2738. https://doi.org/10.1111/twec.13081

    • Cox, R., Kamolsareeratana, A., & Kouwenberg, R. (2020). Compulsive gambling in the financial markets: Evidence from two investor surveys. Journal of Banking and Finance, 111, Article 105709. https://doi.org/10.1016/j.jbankfin.2019.105709

    • Kouwenberg, R. (2018). Strategic asset allocation for insurers under Solvency II. Journal of Asset Management, 19(7), 447-459. https://doi.org/10.1057/s41260-018-0097-4

    • He, X. D., Kouwenberg, R., & Zhou, X. Y. (2017). Rank-dependent utility and risk taking in complete markets. SIAM Journal on Financial Mathematics, 8(1), 214-239. https://doi.org/10.1137/16M1072516

    • Kouwenberg, R., Markiewicz, A., Verhoeks, R., & Zwinkels, R. (2017). Model Uncertainty and Exchange Rate Forecasting. Journal of Financial and Quantitative Analysis, 52(1), 341-363. https://doi.org/10.1017/S0022109017000011

    • Dimmock, SG., Kouwenberg, R., Mitchell, OS., & Peijnenburg, K. (2016). Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence. Journal of Financial Economics, 119(3), 559-577. https://doi.org/10.1016/j.jfineco.2016.01.003

    • Dimmock, SG., Kouwenberg, R., & Wakker, P. (2016). Ambiguity Attitudes in a Large Representative Sample. Management Science, 62(5), 1363-1380. https://doi.org/10.1287/mnsc.2015.2198

    • Grohmann, A., Kouwenberg, R., & Menkhoff, L. (2015). Childhood roots of financial literacy. Journal of Economic Psychology, 51, 114-133. https://doi.org/10.1016/j.joep.2015.09.002

    • Kouwenberg, R., & Zwinkels, R. (2015). Endogenous Price Bubbles in a Multi-Agent System of the Housing Market. PLoS One (online), 10(6), e0129070. https://doi.org/10.1371/journal.pone.0129070

    • Dimmock, SG., Kouwenberg, R., Mitchell, OS., & Peijnenburg, K. (2015). Estimating Ambiguity Preferences and Perceptions in Multiple Prior Models: Evidence from the Field. Journal of Risk and Uncertainty, 51(3), 219-244. https://doi.org/10.1007/s11166-015-9227-2

    • Kouwenberg, R., Salomons, R., & Thontirawong, P. (2014). Corporate Governance and Stock Returns in Asia. Quantitative Finance, 14(6), 965-976. https://doi.org/10.1080/14697688.2012.762603

    • Kouwenberg, R., & Phunnarungsi, V. (2013). Corporate Governance, Violations and Market Reactions. Pacific-Basin Finance Journal, 21(1), 881-898. https://doi.org/10.1016/j.pacfin.2012.06.006

    • Cumperayot, P., & Kouwenberg, R. (2013). Early Warning Systems for Currency Crises: A Multivariate Extreme Value Approach. Journal of International Money and Finance, 36, 151-171. https://doi.org/10.1016/j.jimonfin.2013.03.008

    • Ananchotikul, N., Kouwenberg, R., & Phunnarungsi, V. (2010). Do Firms Decouple Corporate Governance Policy and Practice? European Financial Management, 16(5), 712-737. https://doi.org/10.1111/j.1468-036X.2010.00545.x

    • Dimmock, SG., & Kouwenberg, R. (2010). Loss-Aversion and Household Portfolio Choice. Journal of Empirical Finance, 17(3), 441-459. https://doi.org/10.1016/j.jempfin.2009.11.005

    • Berkelaar, AB., & Kouwenberg, R. (2010). A Liability-Relative Drawdown Approach to Pension Asset Liability Management. Journal of Asset Management, 11, 194-217. https://doi.org/10.1057/9780230307230_14

    • Berkelaar, A., & Kouwenberg, R. (2009). From boom 'til bust: how loss aversion affects asset prices. Journal of Banking and Finance, 33(6), 1005-1013. https://doi.org/10.1016/j.jbankfin.2008.10.019

    • Kouwenberg, R., & Ziemba, WT. (2007). Incentives and risk taking in hedge funds. Journal of Banking and Finance, 31(11), 3291-3310. https://doi.org/10.1016/j.jbankfin.2007.04.003

    • Cumperayot, P., Keijzer, T., & Kouwenberg, R. (2006). Linkages between extreme stock market and currency returns. Journal of International Money and Finance, 25(3), 528-550.

    • Berkelaar, A., Gromicho, J., Kouwenberg, R., & Zhang, S. (2005). A Primal-Dual Decomposition Algorithm for Stochastic Convex Programming. Mathematical Programming, 104(1), 153-177.

    • Berkelaar, A., Post, GT., & Kouwenberg, R. (2004). Optimal portfolio choice under loss aversion. The Review of Economics and Statistics, 86(4), 973-987. https://doi.org/10.1162/0034653043125167

    • Kouwenberg, R. (2003). Do hedge funds add value to a passive portfolio: correcting for non-normal returns and disappearing funds. Journal of Asset Management, 3(4), 361-383.

    • Kouwenberg, R., & Berkelaar, A. (2003). Retirement saving with contribution payments and labor income as a benchmark for investments. Journal of Economic Dynamics and Control, 27(6), 1069-1097. https://doi.org/10.1016/S0165-1889(02)00055-6

    • Gondzio, J., Kouwenberg, R., & Vorst, ACF. (2003). Hedging options under transaction costs and stochastic volatility. Journal of Economic Dynamics and Control, 27(6), 1045-1068. https://doi.org/10.1016/S0165-1889(02)00054-4

    • Kouwenberg, R., Berkelaar, A., & Cumperayot, P. (2002). The effect of VaR based risk management on asset prices and the volatility smile. European Financial Management, 8, 139-164.

    • Kouwenberg, R., & Gondzio, J. (2001). High performance computing for asset liability management. Operations Research, 49, 879-891.

    • Kouwenberg, R. (2001). Scenario generation and stochastic programming models for asset liability management. European Journal of Operational Research, 134(2), 279-292. https://doi.org/10.1016/S0377-2217(00)00261-7

    • Vorst, ACF., Donders, MWM., & Kouwenberg, R. (2000). Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity. European Financial Management, 6(2), 149-171.

Chapter (3)

  • Academic (3)

    • Kouwenberg, R., & Zenios, SA. (2006). Stochastic Programming Models. In S. A. Zenios, & W. T. Ziemba (Eds.), Handbook of Asset and Liability Management, Volume 1 (pp. 253-303). North-Holland Publishing Company.

    • Berkelaar, AB., Kobor, A., & Kouwenberg, R. (2006). Advanced Risk Budgeting Techniques. In M. Ong (Ed.), Risk Management: A Modern Perspective (pp. 89-111). Academic Press.

    • Kouwenberg, R., & Mentink, AA. (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). JAI Press/Elsevier.

Doctoral Thesis (1)

  • Internal (1)

    • Kouwenberg, R. (2000). Dynamic asset liability management. [Doctoral Thesis, Erasmus University Rotterdam]. Erasmus University Rotterdam (EUR).

Report (2)

  • Academic (1)

    • Berkelaar, AB., & Kouwenberg, R. (2000). Dynamic asset allocation and downside-risk aversion. (Econometric Institute 2000-12/A ed.) Econometric Institute Vol. 2000-12/A

  • Professional (1)

    • Kamolsareeratana, A., Kouwenberg, R., & Cox, R. (2018). Gambling in the Stock Market: The Motivations behind Excessive and Speculative Trading. Netspar (Network for Studies on Pensions, Aging and Retirement).

Events (2)

2010
May
26
Attitudes towards Ambiguity in a Large Representative Household Survey
Research Seminar
As: Speaker
2007
May
15
Testing Portfolio Efficiency with Non-Traded Assets: Taking into Account Labor Income, Housing and Liabilities
Research Seminar
As: Speaker

Address

Visiting address

Office: Tinbergen Building H14-15
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Research Initiatives

Latest publication

Article

Cumperayot, P., & Kouwenberg, R. (2021). The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates. International Economics, 166, 167-176. https://doi.org/10.1016/j.inteco.2020.12.005