Published Papers

  1. Optimal Decentralized Investment Management, with Jules H. van Binsbergen and Michael W. Brandt, NBER Working paper No. 12144.
    Journal of Finance, August 2008. Presented at the 2006 EFA and 2007 AFA.

Completed Papers

  1. Predictive Regressions: A Present-Value Approach, with Jules H. van Binsbergen.
    Winner of the Goldman Sachs Asset Management Award for the best paper in empirical investments at the 2008 WFA conference
    This version: May 2008, revise and resubmit at The Journal of Finance. Presented at the 2008 WFA.

  2. When Can Life-cycle Investors Benefit from Time-varying Bond Risk Premia?, with Theo E. Nijman and Bas J.M. Werker.
    This version: November 2007, revise and resubmit at The Review of Financial Studies. Presented at the 2007 WFA and 2007 EFA.
    Appendix containing details on the numerical approach is available here.

  3. Mortgage Timing, with Otto Van Hemert and Stijn Van Nieuwerburgh, NBER Working paper No. 13361.
    Winner of 2007-08 Glucksman Institute Research Prize
    This version: June 2008, revise and resubmit at the Journal of Financial Economics. Presented at the 2007 NBER's Summer Institute Asset Pricing workshop and EFA 2007.

  4. Optimal Annuity Risk Management, with Theo E. Nijman and Bas J.M. Werker.
    This version: April 2008. Presented at the 2007 EFA.

  5. Momentum and Mean Reversion in Strategic Asset Allocation, with Juan Carlos Rodriguez and Alessandro Sbuelz.
    This version: May 2008. Presented at the 2006 EFA.

Working Papers

  1. The Cross-section of Managerial Ability and Risk Preferences.
    This version: March 2008. To be presented at the 2008 EFA and 2009 AFA.
    Appendix containing details on the econometric approach is available here.

  2. Working with Epstein-Zin Preferences: Computation and Likelihood Estimation of DSGE Models with Recursive Preferences, with Jules H. van Binsbergen, Jesus Fernandez-Villaverde, and Juan F. Rubio-Ramirez.
    This version: April 2008.

Other Publications

  1. Saving and Investing over the Life Cycle and the Role of Collective Pension Funds, with A. Lans Bovenberg, Theo E. Nijman, and Coen N. Teulings.
    De Economist 155, 2007, 347-415. Lead article.

  2. Market Efficiency and Return Predictability, with Stijn Van Nieuwerburgh.
    Forthcoming at "Encyclopedia of Complexity & System Science", Robert Meyers (ed.), 2007.

  3. Valuation and Risk Management of Inflation-Sensitive Pension Rights, with Theo E. Nijman.
    In "Fair Value and Pension Fund Management", N. Kortleve, Th. Nijman and E. Ponds (eds.), Elsevier Publishers 2006.

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