Publications:
Balter, A.G., Kort P.M., Nunes C., and D. Pereira (2025). Innovation and product positioning: When to add or replace, Omega, 136, 103327.
Balter, A.G., and Schweizer N. (2024). Robust decisions for heterogeneous agents via certainty equivalents, European Journal of Operational Research, 317(1), 171-184.
Balter, A.G., Schumacher J.M. and Schweizer, N. (2024). Solving maxmin optimization problems via population games, Journal of Optimization Theory and Applications, 201(2), 760-789.
Balter, A.G., Chau K. and Schweizer, N. (2024). Comparative risk aversion vs. threshold choice in the Omega ratio, Omega, 123, 102992.
Balter, A.G., Vera J. and Schweizer N. (2023). Contingent capital with stock price triggers in interbank networks, Mathematics of Operations Research, 48(1):520-543.
Balter, A.G. , Skovgaard Bjerre D. and M. Kallestrup-Lamb (2023). The effect of marital status on life expectancy: Is cohabitation as protective as marriage?, Journal of Demographic Economics, 89(3), 373 - 394.
Balter, A.G., Huisman K. and Kort P. (2022). New insights in capacity investment under uncertainty, Journal of Economic Dynamics and Control, 144, 104499.
Balter, A.G., Huisman K. and Kort P. (2022). Effects of creative destruction on the size and timing of an investment, International Journal of Production Economics, 252, 108572.
Balter, A.G., Chau K. and Schweizer, N. (2022). Rabin’s calibration theorem revisited, Economics Letters, 210.
Balter, A.G., Pelsser, A. and Schotman P. (2021). What does a term structure model imply about very long-term discount rates?, Journal of Empirical Finance, 62, 202-219.
Balter, A.G. and Pelsser, A. (2021). Quantifying ambiguity bounds via time-consistent sets of indistinguishable models, Systems & Control Letters, 149, 104877.
Balter, A.G., Mahayni, A. and Schweizer N. (2021). Time-consistency of optimal investment under smooth ambiguity, European Journal of Operational Research, 293(2), 643-657.
Balter, A.G., Kallestrup-Lamb M. and Rangvid J. (2021). Macro longevity risk and the choice between annuity products: Evidence from Denmark, Insurance: Mathematics and Economics, 99, 355-362.
Balter, A.G., Kallestrup-Lamb M. and Rangvid J. (2020). Variability in pension products: a comparison study between The Netherlands and Denmark, Annals of Actuarial Science, 14(2), 338-357.
Balter, A.G. and Werker, B. (2020). The effect of the assumed interest rate and smoothing on variable annuities, ASTIN Bulletin, 50(1), 131-154.
Balter, A.G. and Pelsser, A. (2020). Pricing and hedging in incomplete markets with model uncertainty, European Journal of Operational Research, 282(3), 911-925.
Netspar publications:
Balter, A.G., Garcia, J. and Schweizer N. (2024). Welfare effects of collective investment for heterogeneous agents, Netspar Design Paper, 251.
Balter, A.G., van den Goorbergh, R. and Schweizer N. (2024). The impact of uncertainty in risk preferences and risk capacities on lifecycle investment, Netspar Design Paper, 237.
Balter, A.G. and Werker B. (2021). Toedeling van rendementen met spreiding, Netspar Design Paper, 192.
Balter, A.G., Bonenkamp, J. and Werker B. (2021). Transitie: gevoeligheid voor veronderstellingen en omstandigheden, Netspar Design Paper, 185.
Balter, A.G., De Jong, F. and Pelsser A. (2020). Risk Sharing within Pension Schemes, Netspar Design Paper, 166.
Balter, A.G., Beijering, L., Janssen P., De Jong, F., Joseph, A., Kamma, T. and Pelsser A. (2020). Investing for retirement with an explicit benchmark, Netspar Design Paper, 163.
Werker, Nijman, Lever, Kocken, van Hoogdalem, Bovenberg, Bouwman, Bonenkamp and Boeijen and Balter, (2019). De bepaling van de marktwaarde van bestaande aanspraken in een uitkeringsovereenkomst, Netspar Occasional Paper, 3.
Balter, A.G., Kallestrup-Lamb M. and Rangvid J. (2018). The move towards riskier pension products in the world’s best pension systems, Netspar Design Paper, 105.
Balter A.G., and Werker, B (2017). The effect of the assumed interest rate and smoothing on variable annuities, Netspar Design Paper, 81.
Working papers:
Product life cycles and investment: A real options analysis, with Kuno Huisman and Peter Kort.
Model ambiguity versus model misspecification in dynamic portfolio choice and asset pricing, with Pascal Maenhout and Hao Xing.
Dynamic stability in population games derived from social decision problems, with Hans Schumacher and Nikolaus Schweizer.
Decision under ambiguity, composed optimization, and quantal response equilibria, with Hans Schumacher and Nikolaus Schweizer
Robust hedging of long-term investments under interest rate risk and inflation risk, with Lieske Coumans and Frank de Jong.
Work in progress:
Multiple cartel-like equilibria in Hotelling’s model, with Peter Kort, Claudia Nunes and Diogo Pereira.
Investment under policy uncertainty: The effect of the depreciation tax shield, with Peter Kort and Maria Lavrutich.
Collective utility and the emergence of decreasing relative risk aversion, with Hans Schumacher and Nikolaus Schweizer.
Systematic longevity risk: The willingness to pay, with Malene Kallestrup-Lamb and Mathias Danielsen Plovst.
Daily leverage and long-term investing using leveraged exchange traded funds, with Javier Garcia and Nikolaus Schweizer.
Robust hedging of terminal wealth under interest rate risk with the constraint approach, with Lieske Coumans and Frank de Jong.