- Performance and Risk Measurement for Pension Funds, In: Pension fund risk management: financial and actuarial modeling, Micoccio, Gregoriou, and Masala (Eds), Chapman & Hall, 2010.
- Beyond the Sortino Ratio (with Frank Sortino, Robert van der Meer, Bernardo Kuan), In: The Sortino Framework for Constructing Portfolios, Frank Sortino (Ed), Elsevier, 2009.
- Sharing downside risk in defined benefit pension funds (with Robert van der Meer and Frank Sortino), In: The Sortino Framework for Constructing Portfolios, Frank Sortino (Ed), Elsevier, 2009.
- ‘The stocks at stake: Return and risk in socially responsible investment’ (with Rients Galema and Bert Scholtens), Journal of Banking and Finance , Vol. 32, 2008, pp. 2646-2654.
- ‘Performance measurement for pension funds’ , Journal of Performance Measurement, Vol 12, No. 1, 2007, pp. 8-21.(SSRN)
- ‘Using analysts' earnings forecasts for country/industry-based asset allocation’ (with William Forbes and Carel Huijgen), Managerial Finance, Vol. 32, No. 4, 2006, pp. 317-336. (SSRN)
- ‘Performance attribution and the accuracy of detecting timing and selection skills’, Journal of Performance Measurement, Vol. 9, No. 4, 2005, pp. 66-73. (SSRN)
- ‘The upside potential ratio’ (with Frank Sortino, Robert van der Meer and Hal Forsey), Senior Consultant, Vol. 6, No. 11, 2003.
- ‘Valutazione della performance e assivita assicurative’ (with Carel Huygen), Diritto ed economia dell'assicurazione, No. 1, 2002, pp. 41-64.
- ‘Exposure to Socially Responsible Investing of Mutual Funds in the Euronext Stock Markets’ (with Bert Scholtens and Nanne Brunia), Journal of Performance Measurement, Vol. 6, No. 3, 2002, pp. 40-50.
- ‘Socially Responsible Investing and Management Style of Mutual Funds in the Euronext Stock Markets’ (with Bert Scholtens), Revue bancaire et financière, Vol. 66, No. 4, 2002, pp.248-254.
- ‘Risk-adjusted performance measures and implied risk attitudes’ (with Sebastiaan de Groot), The Journal of Performance Measurement, Volume 6, Number 2 (Winter), 2002, pp. 9 - 20.
- ‘Utility theory and value functions’ (with Sebastiaan de Groot), In: Managing Downside Risk in Financial Markets, Eds. Steven Satchell & Frank Sortino, 2001.
- ‘Performance measurement and insurance liabilities’ (with Carel Huijgen), Journal of Portfolio Management, Volume 27, Number 3 (Spring) 2001, pp 105 - 115. (SSRN)
- ‘The upside potential ratio’ (with Frank Sortino and Robert van der Meer), Journal of Performance Measurement, Vol. 4, No. 1, 1999, pp 10-15.
- ‘The Dutch Triangle: A Framework to Measure Upside Potential relative to Downside Risk’ (with Frank Sortino and Robert van der Meer), Journal of Portfolio Management, Fall, 1999, pp. 50-58.
- ‘Liability-driven performance attribution’ (with Robert van der Meer), Geneva Papers on Risk and Insurance, No. 74, 1995, pp. 10-23.
|
|
