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Arjen Siegmann

Personal Details

First Name:Arjen
Middle Name:
Last Name:Siegmann
Suffix:
RePEc Short-ID:psi50
[This author has chosen not to make the email address public]
http://personal.vu.nl/a.h.siegmann/

Affiliation

School of Business and Economics
Vrije Universiteit Amsterdam

Amsterdam, Netherlands
http://sbe.vu.nl/
RePEc:edi:fewvunl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Gautier, Pieter & Siegmann, Arjen & van Vuuren, Aico, 2018. "Real-Estate Agent Commission Structure and Sales Performance," CEPR Discussion Papers 12587, C.E.P.R. Discussion Papers.
  2. Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.
  3. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.
  4. Denitsa Stefanova & Arjen Siegmann & Marcin Zamojski, 2014. "Hedge Fund Innovation," LSF Research Working Paper Series 14-13, Luxembourg School of Finance, University of Luxembourg.
  5. Dirk Schoenmaker & Arjen Siegmann, 2013. "Efficiency Gains of a European Banking Union," Tinbergen Institute Discussion Papers 13-026/IV/DSF51, Tinbergen Institute.
  6. Dirk Schoenmaker & Arjen Siegmann, 2012. "Can European Bank Bailouts work?," Tinbergen Institute Discussion Papers 12-111/IV/DSF43, Tinbergen Institute.
  7. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  8. Roman Kraeussl & Andre Lucas & Arjen Siegmann, 2010. "Risk Aversion under Preference Uncertainty," Tinbergen Institute Discussion Papers 10-117/2/DSF 4, Tinbergen Institute.
  9. Gautier, Pieter & van Vuuren, Aico & Siegmann, Arjen, 2007. "The Effect of the Theo van Gogh Murder on House Prices in Amsterdam," CEPR Discussion Papers 6175, C.E.P.R. Discussion Papers.
  10. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
  11. Lucas, Andre & Molenkamp, Jan Bertus & Siegmann, Arjen, 2002. "De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen," Serie Research Memoranda 0002, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  12. Arjen H. Siegmann, 2001. "Optimal Saving Rules for Loss-Averse Agents under Uncertainty," Tinbergen Institute Discussion Papers 01-079/4, Tinbergen Institute.
  13. Arjen H. Siegmann & André Lucas, 2000. "Analytic Decision Rules for Financial Stochastic Programs," Tinbergen Institute Discussion Papers 00-041/2, Tinbergen Institute.

Articles

  1. Gautier, Pieter & Siegmann, Arjen & van Vuuren, Aico, 2023. "Real-estate agent commission structure and sales performance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 163-187.
  2. Boes, Mark-Jan & Siegmann, Arjen, 2018. "Intergenerational risk sharing under loss averse preferences," Journal of Banking & Finance, Elsevier, vol. 92(C), pages 269-279.
  3. Jona Derks & Jaap Gordijn & Arjen Siegmann, 2018. "From chaining blocks to breaking even: A study on the profitability of bitcoin mining from 2012 to 2016," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 321-338, August.
  4. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
  5. Schoenmaker, Dirk & Siegmann, Arjen, 2014. "Can European bank bailouts work?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 334-349.
  6. Kräussl, Roman & Lucas, André & Siegmann, Arjen, 2012. "Risk aversion under preference uncertainty," Finance Research Letters, Elsevier, vol. 9(1), pages 1-7.
  7. Siegmann, Arjen, 2011. "Minimum funding ratios for defined-benefit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(3), pages 417-434, July.
  8. Gautier, Pieter A. & Siegmann, Arjen & Van Vuuren, Aico, 2009. "Terrorism and attitudes towards minorities: The effect of the Theo van Gogh murder on house prices in Amsterdam," Journal of Urban Economics, Elsevier, vol. 65(2), pages 113-126, March.
  9. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 200-226, January.
  10. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March.
  11. Siegmann, Arjen, 2007. "Optimal investment policies for defined benefit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 6(1), pages 1-20, March.
  12. Arjen Siegmann & André Lucas, 2005. "Discrete-Time Financial Planning Models Under Loss-Averse Preferences," Operations Research, INFORMS, vol. 53(3), pages 403-414, June.
  13. Siegmann, Arjen, 2004. "Comment on Hovanov, Kolari and Sokolov: a stable currency numeraire?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1505-1510, June.
  14. Siegmann, Arjen, 2002. "Optimal saving rules for loss-averse agents under uncertainty," Economics Letters, Elsevier, vol. 77(1), pages 27-34, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.

    Cited by:

    1. Hoang Nguyen & Audron.e Virbickait.e & M. Concepci'on Aus'in & Pedro Galeano, 2024. "Structured factor copulas for modeling the systemic risk of European and United States banks," Papers 2401.03443, arXiv.org.
    2. Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2018. "Assessing the extent of contagion of sovereign credit risk among BRICS countries," MPRA Paper 89200, University Library of Munich, Germany.
    3. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    4. J. W. Muteba Mwamba & Mathias Manguzvane, 2020. "Contagion risk in african sovereign debt markets: A spatial econometrics approach," International Finance, Wiley Blackwell, vol. 23(3), pages 506-536, December.

  2. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.

    Cited by:

    1. Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020. "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, vol. 52(C).
    2. Li, Chenlu & Li, Baibing & Tee, Kai-Hong, 2020. "Are hedge funds active market liquidity timers?," International Review of Financial Analysis, Elsevier, vol. 67(C).
    3. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.
    4. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.

  3. Denitsa Stefanova & Arjen Siegmann & Marcin Zamojski, 2014. "Hedge Fund Innovation," LSF Research Working Paper Series 14-13, Luxembourg School of Finance, University of Luxembourg.

    Cited by:

    1. Agarwal, Vikas & Mullally, Kevin A. & Naik, Narayan Y., 2015. "The Economics and Finance of Hedge Funds: A Review of the Academic Literature," Foundations and Trends(R) in Finance, now publishers, vol. 10(1), pages 1-111, December.
    2. Morton, David P. & Popova, Elmira & Popova, Ivilina, 2006. "Efficient fund of hedge funds construction under downside risk measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 503-518, February.

  4. Dirk Schoenmaker & Arjen Siegmann, 2013. "Efficiency Gains of a European Banking Union," Tinbergen Institute Discussion Papers 13-026/IV/DSF51, Tinbergen Institute.

    Cited by:

    1. Marius A. Zoican & Lucyna A. Górnicka, 2013. "Banking Unions: Distorted Incentives and Efficient Bank Resolution," Tinbergen Institute Discussion Papers 13-184/VI, Tinbergen Institute, revised 16 May 2014.
    2. Vasile COCRIS & Igor TURCANU & Stanislav PERCIC, 2014. "Towards A European Banking Union: Risks And Challenges," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 219-227, December.
    3. Belke, Ansgar & Dobrzańska, Anna & Gros, Daniel & Smaga, Paweł, 2016. "(When) should a non-euro country join the banking union?," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 4-19.
    4. Thorsten Beck & Wolf Wagner, 2016. "Supranational Supervision: How Much and for Whom?," International Journal of Central Banking, International Journal of Central Banking, vol. 12(2), pages 221-268, June.
    5. Marius Andrei Zoican & Lucyna Anna Gornicka, 2014. "Banking Union Optimal Design under Moral Hazard," 2014 Papers pzo33, Job Market Papers.

  5. Dirk Schoenmaker & Arjen Siegmann, 2012. "Can European Bank Bailouts work?," Tinbergen Institute Discussion Papers 12-111/IV/DSF43, Tinbergen Institute.

    Cited by:

    1. Tsionas, Efthymios G. & Assaf, A. George & Matousek, Roman, 2015. "Dynamic technical and allocative efficiencies in European banking," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 130-139.
    2. Jan Kolesnik, 2013. "Europejska unia bankowa – nowy wymiar ryzyka systemowego. (European Banking Union – a new dimension of systemic risk.)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 11(42), pages 91-111.
    3. Corbet, Shaen & Cumming, Douglas J. & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "Have crisis-induced banking supports influenced European bank performance, resilience and price discovery?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    4. Thomas Conlon & John Cotter, 2019. "Subordinate Resolution ‐‐ An Empirical Analysis of European Union Subsidiary Banks," Journal of Common Market Studies, Wiley Blackwell, vol. 57(4), pages 857-876, July.
    5. Górnicka, Lucyna A. & Zoican, Marius A., 2016. "Too-international-to-fail? Supranational bank resolution and market discipline," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 41-58.
    6. Dirk Schoenmaker & Arjen Siegmann, 2013. "Efficiency Gains of a European Banking Union," Tinbergen Institute Discussion Papers 13-026/IV/DSF51, Tinbergen Institute.
    7. Vollmer Uwe, 2016. "The Asymmetric Implementation of the European Banking Union (EBU): Consequences for Financial Stability," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 50(1), pages 7-26, June.
    8. Xin Hong & Yang Hu & Wanting Zhang, 2022. "Share pledge risk and government bailout fund," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(5), pages 4831-4848, December.
    9. Cerutti, Eugenio & Schmieder, Christian, 2014. "Ring fencing and consolidated banks’ stress tests," Journal of Financial Stability, Elsevier, vol. 11(C), pages 1-12.
    10. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  6. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.

    Cited by:

    1. Soumaya Ben Khelifa & Dorra Mezzez Hmaied, 2016. "Do European hedge fund managers time market liquidity?," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 393-407, October.

  7. Roman Kraeussl & Andre Lucas & Arjen Siegmann, 2010. "Risk Aversion under Preference Uncertainty," Tinbergen Institute Discussion Papers 10-117/2/DSF 4, Tinbergen Institute.

    Cited by:

    1. Sascha Desmettre & Mogens Steffensen, 2023. "Equilibrium investment with random risk aversion," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 946-975, July.

  8. Gautier, Pieter & van Vuuren, Aico & Siegmann, Arjen, 2007. "The Effect of the Theo van Gogh Murder on House Prices in Amsterdam," CEPR Discussion Papers 6175, C.E.P.R. Discussion Papers.

    Cited by:

    1. Alberto Abadie & Sofia Dermisi, 2006. "Is Terrorism Eroding Agglomeration Economies in Central Business Districts? Lessons from the Office Real Estate Market in Downtown Chicago," NBER Working Papers 12678, National Bureau of Economic Research, Inc.
    2. Gautier, Pieter A. & Siegmann, Arjen & Van Vuuren, Aico, 2009. "Terrorism and attitudes towards minorities: The effect of the Theo van Gogh murder on house prices in Amsterdam," Journal of Urban Economics, Elsevier, vol. 65(2), pages 113-126, March.

  9. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.

    Cited by:

    1. Morton, David P. & Popova, Elmira & Popova, Ivilina, 2006. "Efficient fund of hedge funds construction under downside risk measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 503-518, February.

  10. Arjen H. Siegmann, 2001. "Optimal Saving Rules for Loss-Averse Agents under Uncertainty," Tinbergen Institute Discussion Papers 01-079/4, Tinbergen Institute.

    Cited by:

    1. Marcela Ibanez & Sebastian O. Schneider, 2023. "Income Risk, Precautionary Saving, and Loss Aversion – An Empirical Test," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2023_06, Max Planck Institute for Research on Collective Goods.
    2. Horst Zank, 2007. "On the Paradigm of Loss Aversion," Economics Discussion Paper Series 0710, Economics, The University of Manchester.
    3. Horst Zank, 2010. "On probabilities and loss aversion," Theory and Decision, Springer, vol. 68(3), pages 243-261, March.
    4. Park Hyeon, 2016. "Loss Aversion and Consumption Plans with Stochastic Reference Points," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 16(1), pages 303-336, January.
    5. Sanjit Dhami & Narges Hajimoladarvish & Konstantinos Georgalos, 2023. "Precautionary Savings, Loss Aversion, and Risk: Theory and Evidence," CESifo Working Paper Series 10570, CESifo.
    6. Bonilla, Claudio A. & Fica, Diego, 2022. "Loss aversion and risky entrepreneurship," Finance Research Letters, Elsevier, vol. 48(C).

  11. Arjen H. Siegmann & André Lucas, 2000. "Analytic Decision Rules for Financial Stochastic Programs," Tinbergen Institute Discussion Papers 00-041/2, Tinbergen Institute.

    Cited by:

    1. Serguei Kaniovski, 2003. "Risk-Averse Monopolist with Aspiration," WIFO Working Papers 196, WIFO.
    2. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.

Articles

  1. Boes, Mark-Jan & Siegmann, Arjen, 2018. "Intergenerational risk sharing under loss averse preferences," Journal of Banking & Finance, Elsevier, vol. 92(C), pages 269-279.

    Cited by:

    1. Bégin, Jean-François, 2020. "Levelling the playing field: A VIX-linked structure for funded pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 58-78.

  2. Jona Derks & Jaap Gordijn & Arjen Siegmann, 2018. "From chaining blocks to breaking even: A study on the profitability of bitcoin mining from 2012 to 2016," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 321-338, August.

    Cited by:

    1. Nadine Kathrin Ostern, 2020. "Blockchain in the IS research discipline: a discussion of terminology and concepts," Electronic Markets, Springer;IIM University of St. Gallen, vol. 30(2), pages 195-210, June.
    2. Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2021. "The economic dependency of the Bitcoin security," Papers 2102.08378, arXiv.org.
    3. Tea Livaic & Ana Perisic, 2019. "What can Google Tell us about Bitcoin Trading Volume in Croatia? Evidence from the Online Marketplace Localbitcoins," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 17(4), pages 707-715.
    4. Vineet Paliwal & Shalini Chandra & Suneel Sharma, 2020. "Blockchain Technology for Sustainable Supply Chain Management: A Systematic Literature Review and a Classification Framework," Sustainability, MDPI, vol. 12(18), pages 1-39, September.
    5. Klarin, Anton, 2020. "The decade-long cryptocurrencies and the blockchain rollercoaster: Mapping the intellectual structure and charting future directions," Research in International Business and Finance, Elsevier, vol. 51(C).
    6. Nora Nahr & Marikka Heikkilä, 2022. "Uncovering the identity of Electronic Markets research through text mining techniques," Electronic Markets, Springer;IIM University of St. Gallen, vol. 32(3), pages 1257-1277, September.
    7. Rainer Alt & Roman Beck & Martin T. Smits, 2018. "FinTech and the transformation of the financial industry," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 235-243, August.
    8. Nishant Sapra & Imlak Shaikh & Ashutosh Dash, 2023. "Impact of Proof of Work (PoW)-Based Blockchain Applications on the Environment: A Systematic Review and Research Agenda," JRFM, MDPI, vol. 16(4), pages 1-29, March.
    9. Rainer Alt, 2020. "Electronic Markets on sustainability," Electronic Markets, Springer;IIM University of St. Gallen, vol. 30(4), pages 667-674, December.

  3. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
    See citations under working paper version above.
  4. Schoenmaker, Dirk & Siegmann, Arjen, 2014. "Can European bank bailouts work?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 334-349.
    See citations under working paper version above.
  5. Kräussl, Roman & Lucas, André & Siegmann, Arjen, 2012. "Risk aversion under preference uncertainty," Finance Research Letters, Elsevier, vol. 9(1), pages 1-7.
    See citations under working paper version above.
  6. Siegmann, Arjen, 2011. "Minimum funding ratios for defined-benefit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(3), pages 417-434, July.

    Cited by:

    1. Christine Mayrhuber & Gerhard Rünstler & Thomas Url & Werner Eichhorst & Michael J. Kendzia & Maarten Gerard & Connie Nielsen, 2011. "Pension Systems in the EU. Contingent Liabilities and Assets in the Public and Private Sector," WIFO Studies, WIFO, number 43938, April.
    2. Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J., 2017. "Sustainability of participation in collective pension schemes: An option pricing approach," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 182-196.
    3. Thomas Url, 2015. "Altersvorsorgesysteme in Europa," WIFO Studies, WIFO, number 57913, April.
    4. Romp, Ward & Beetsma, Roel, 2020. "Sustainability of pension systems with voluntary participation," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 125-140.
    5. An Chen & Filip Uzelac, 2015. "Portability, Salary and Asset Price Risk: A Continuous-Time Expected Utility Comparison of DB and DC Pension Plans," Risks, MDPI, vol. 3(1), pages 1-26, March.

  7. Gautier, Pieter A. & Siegmann, Arjen & Van Vuuren, Aico, 2009. "Terrorism and attitudes towards minorities: The effect of the Theo van Gogh murder on house prices in Amsterdam," Journal of Urban Economics, Elsevier, vol. 65(2), pages 113-126, March.

    Cited by:

    1. Utpal Bhattacharya & Daisy Huang & Kasper Meisner Nielsen, 2021. "Spillovers in Prices: The Curious Case of Haunted Houses [Fire sales and house prices: evidence from estate sales due to sudden death]," Review of Finance, European Finance Association, vol. 25(3), pages 903-935.
    2. Sebastian Brandt & Wolfgang Maennig, 2010. "Perceived Externalities of Cell Phone Base Stations – The Case of Property Prices in Hamburg, Germany," Working Papers 039, Chair for Economic Policy, University of Hamburg.
    3. Ahmed Elsayed & Andries de Grip, 2013. "Terrorism and Integration of Muslim Immigrants," Working Papers 783, Economic Research Forum, revised Oct 2013.
    4. Philippe Martin & Thierry Mayer & Florian Mayneris, 2011. "Spatial concentration and plant-level productivity in france," SciencePo Working papers Main hal-01071849, HAL.
    5. Gautier, Pieter & Siegmann, Arjen & van Vuuren , Aico, 2017. "Real-Estate Agent Commission Structure and Sales Performance," Working Papers in Economics 692, University of Gothenburg, Department of Economics.
    6. Lepage, Louis-Pierre, 2023. "Discrimination and sorting in the real estate market: Evidence from terrorist attacks and mosques," European Economic Review, Elsevier, vol. 153(C).
    7. Floris Vermeulen & Jean Tillie & Robert van de Walle, 2012. "Different Effects of Ethnic Diversity on Social Capital: Density of Foundations and Leisure Associations in Amsterdam Neighbourhoods," Urban Studies, Urban Studies Journal Limited, vol. 49(2), pages 337-352, February.
    8. Albouy, David & Lue, Bert, 2015. "Driving to opportunity: Local rents, wages, commuting, and sub-metropolitan quality of life," Journal of Urban Economics, Elsevier, vol. 89(C), pages 74-92.
    9. Philippe Martin & Thierry Mayer & Florian Mayneris, 2008. "Spatial Concentration and Firm-Level Productivity in France," Working Papers hal-01066174, HAL.
    10. Marco Giani & Luca Paolo Merlino, 2021. "Terrorist attacks and minority perceived discrimination," ULB Institutional Repository 2013/351080, ULB -- Universite Libre de Bruxelles.
    11. Cobb-Clark, Deborah A. & Sinning, Mathias, 2009. "Neighborhood Diversity and the Appreciation of Native- and Immigrant-Owned Homes," IZA Discussion Papers 4464, Institute of Labor Economics (IZA).
    12. Nicolás Durán & J. Paul Elhorst, 2023. "Induced earthquakes and house prices: the role of spatiotemporal and global effects," Journal of Geographical Systems, Springer, vol. 25(2), pages 157-183, April.
    13. Arne Risa Hole & Anita Ratcliffe, 2020. "The Impact of the London Bombings on the Well‐Being of Adolescent Muslims," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(4), pages 1606-1639, October.
    14. Brodeur, Abel & Yousaf, Hasin, 2019. "The Economics of Mass Shootings," IZA Discussion Papers 12728, Institute of Labor Economics (IZA).
    15. Juan S. MUNOZ-MORALES & Ruchi SINGH, 2021. "Do School Shootings Erode Property Values?," Working Papers 2021-iFlame-01, IESEG School of Management.
    16. van Ommeren, Jos & Wentink, Derk & Dekkers, Jasper, 2011. "The real price of parking policy," Journal of Urban Economics, Elsevier, vol. 70(1), pages 25-31, July.
    17. Hybel, Jesper & Mulalic, Ismir, 2022. "Transportation and quality of life," Transportation Research Part A: Policy and Practice, Elsevier, vol. 157(C), pages 107-125.
    18. Adam Nowak & Juan Sayago-Gomez, 2017. "Homeowner Preferences after September 11th, a Microdata Approach," Working Papers 17-03, Department of Economics, West Virginia University.
    19. Anita Ratcliffe & Stephanie von Hinke Kessler Scholder, 2013. "The London Bombings and Racial Prejudice: Evidence from Housing and Labour Markets," Working Papers 2013013, The University of Sheffield, Department of Economics.
    20. Nils Verheuvel & Joost Witteman & Marilou Vlaanderen, 2023. "Synthetic Control Method for Dutch Policy Evaluation," De Economist, Springer, vol. 171(1), pages 51-83, March.
    21. Cummins Joseph & Miller Douglas L. & Smith Brock & Simon David, 2024. "Matching on Noise: Finite Sample Bias in the Synthetic Control Estimator," Journal of Econometric Methods, De Gruyter, vol. 13(1), pages 67-95, January.
    22. Fernández-Huertas Moraga, Jesús & Ferrer-i-Carbonell, Ada & Saiz, Albert, 2017. "Immigrant Locations and Native Residential Preferences: Emerging Ghettos or New Communities?," IZA Discussion Papers 11143, Institute of Labor Economics (IZA).
    23. Duran, Nicolas & Elhorst, J. Paul, 2017. "A Spatio-temporal-similarity and Common Factor Approach of Individual Housing Prices," Research Report 2018007-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    24. Nadav Ben Itzhak, 2018. "The Effect of Terrorism on Housing Rental Prices: Evidence from Jerusalem," Bank of Israel Working Papers 2018.08, Bank of Israel.
    25. O'Flaherty, Brendan & Sethi, Rajiv, 2010. "Homicide in black and white," Journal of Urban Economics, Elsevier, vol. 68(3), pages 215-230, November.
    26. Bruijn, L. Michelle & Ribas, Rafael P., 2022. "“No drugs in my back yard:” The ambivalent reception of cannabis retailers," Journal of Economic Behavior & Organization, Elsevier, vol. 199(C), pages 103-121.
    27. Sander WAGNER & Ivaylo D. PETEV, 2019. "The Economic Penalty of Terrorism: Increase in Discrimination Against Arabs and Muslims after Paris Attacks," Working Papers 2019-22, Center for Research in Economics and Statistics.
    28. Aviad Tur-Sinai, 2014. "Adaptation patterns and consumer behavior as a dependency on terror," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 13(2), pages 257-269, November.
    29. David Albouy & Bert Lue, 2014. "Driving to Opportunity: Local Rents, Wages, Commuting Costs and Sub-Metropolitan Quality of Life," NBER Working Papers 19922, National Bureau of Economic Research, Inc.
    30. Kerianne Lawson, 2023. "Using property rights to fight crime: the Khaya Lam project," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 269-302, June.
    31. Samantha Bielen & Peter Grajzl, 2021. "Prosecution or Persecution? Extraneous Events and Prosecutorial Decisions," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 18(4), pages 765-800, December.
    32. Kjellander, Josef & Nilsson, Viktor & van Vuuren, Aico, 2018. "The impact of the announcement of temporary building sites for refugees on house prices in Gothenburg," Working Papers in Economics 720, University of Gothenburg, Department of Economics.
    33. Patrick Gourley, 2019. "Social Stigma and Asset Value," Southern Economic Journal, John Wiley & Sons, vol. 85(3), pages 919-938, January.
    34. Emilio Colombo & Valentina Rotondi & Luca Stanca, 2019. "The Day after the Bomb: Well-being Effects of Terrorist Attacks in Europe," DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo dis1902, Università Cattolica del Sacro Cuore, Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo (DISEIS).
    35. Iuliia Naidenova & Cornel Nesseler & Petr Parshakov & Aleksei Chusovliankin, 2020. "After the Crimea crisis: Employee discrimination in Russia and Ukraine," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-17, October.
    36. Andersson, Henrik & Blind, Ina & Brunåker, Fabian & Dahlberg, Matz & Fredriksson, Greta & Granath, Jakob & Liang, Che-Yuan, 2023. "What's in a Label? On Neighbourhood Labelling, Stigma and Housing Prices," SocArXiv xu759, Center for Open Science.
    37. Elster, Yael & Zussman, Asaf & Zussman, Noam, 2017. "Rockets: The housing market effects of a credible terrorist threat," Journal of Urban Economics, Elsevier, vol. 99(C), pages 136-147.
    38. Ellen, Ingrid Gould & O'Regan, Katherine, 2010. "Crime and urban flight revisited: The effect of the 1990s drop in crime on cities," Journal of Urban Economics, Elsevier, vol. 68(3), pages 247-259, November.
    39. Artavia-Mora, Luis & Bedi, Arjun S. & Rieger, Matthias, 2018. "Help, Prejudice and Headscarves," IZA Discussion Papers 11460, Institute of Labor Economics (IZA).
    40. Hybel, Jesper & Mulalic, Ismir, 2021. "Transportation and Quality of Life: Evidence from Denmark," Working Papers 14-2021, Copenhagen Business School, Department of Economics.
    41. Grier, Kevin & Maynard, Norman, 2016. "The economic consequences of Hugo Chavez: A synthetic control analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 125(C), pages 1-21.
    42. Castillo, Victoria & Figal Garone, Lucas & Maffioli, Alessandro & Salazar, Lina, 2017. "The causal effects of regional industrial policies on employment: A synthetic control approach," Regional Science and Urban Economics, Elsevier, vol. 67(C), pages 25-41.
    43. Stuart S. Rosenthal & Amanda Ross, 2010. "Violent Crime, Entrepreneurship, and Cities," NBER Chapters, in: Cities and Entrepreneurship, National Bureau of Economic Research, Inc.
    44. Scheiner, Joachim, 2018. "Transport costs seen through the lens of residential self-selection and mobility biographies," Transport Policy, Elsevier, vol. 65(C), pages 126-136.
    45. O'Flaherty, Brendan & Sethi, Rajiv, 2010. "The racial geography of street vice," Journal of Urban Economics, Elsevier, vol. 67(3), pages 270-286, May.
    46. Elster, Yael & Zussman, Noam, 2024. "Minorities and property values: Evidence from residential buildings in Israel," Journal of Urban Economics, Elsevier, vol. 141(C).
    47. O’Flaherty, Brendan & Sethi, Rajiv, 2015. "Urban Crime," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 1519-1621, Elsevier.
    48. Erasmo Giambona & Rafael P. Ribas, 2023. "Unveiling the Price of Obscenity: Evidence From Closing Prostitution Windows in Amsterdam," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 42(3), pages 677-705, June.

  8. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 200-226, January.

    Cited by:

    1. Madalina Gabriela ANGHEL & Gyorgy BODO & Okwiet BARTEK, 2016. "Model of Static Portfolio Choices," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 49-53, January.
    2. Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2014. "Spatial system estimators for panel models: A sensitivity and simulation study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 101(C), pages 78-102.
    3. Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
    4. Ines Fortin & Jaroslava Hlouskova, 2015. "Downside loss aversion: Winner or loser?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 181-233, April.
    5. Fortin, Ines & Hlouskova, Jaroslava, 2012. "Optimal Asset Allocation under Quadratic Loss Aversion," Economics Series 291, Institute for Advanced Studies.

  9. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March.

    Cited by:

    1. Dirk Broeders & Paul Hilbers & David Rijsbergen & Ningli Shen, 2014. "What Drives Pension Indexation in Turbulent Times? An Empirical Examination of Dutch Pension Funds," De Economist, Springer, vol. 162(1), pages 41-70, March.

  10. Siegmann, Arjen, 2007. "Optimal investment policies for defined benefit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 6(1), pages 1-20, March.

    Cited by:

    1. Guohui Guan & Zongxia Liang & Yi Xia, 2023. "Optimal management of DB pension fund under both underfunded and overfunded cases," Papers 2302.08731, arXiv.org.
    2. Dormidontova, Yulia & Nazarov, Vladimir & A. Tikhonova, 2014. "Analysis of Approaches of Participants of Pension Products Market to the Development of Optimal Investment Strategies of Pension Savings," Published Papers r90227, Russian Presidential Academy of National Economy and Public Administration.
    3. Ines Fortin & Jaroslava Hlouskova, 2015. "Downside loss aversion: Winner or loser?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 181-233, April.
    4. Artem Dyachenko & Patrick Ley & Marc Oliver Rieger & Alexander F. Wagner, 2022. "The asset allocation of defined benefit pension plans: the role of sponsor contributions," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 376-389, September.

  11. Arjen Siegmann & André Lucas, 2005. "Discrete-Time Financial Planning Models Under Loss-Averse Preferences," Operations Research, INFORMS, vol. 53(3), pages 403-414, June.

    Cited by:

    1. Gao, Jianjun & Xiong, Yan & Li, Duan, 2016. "Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time," European Journal of Operational Research, Elsevier, vol. 249(2), pages 647-656.
    2. Michael Best & Robert Grauer & Jaroslava Hlouskova & Xili Zhang, 2014. "Loss-Aversion with Kinked Linear Utility Functions," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 45-65, June.
    3. Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2014. "Spatial system estimators for panel models: A sensitivity and simulation study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 101(C), pages 78-102.
    4. Fortin, Ines & Hlouskova, Jaroslava, 2024. "Prospect theory and asset allocation," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 214-240.
    5. E. Borgonovo & L. Peccati, 2010. "Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures," Annals of Operations Research, Springer, vol. 176(1), pages 235-258, April.
    6. Dormidontova, Yulia & Nazarov, Vladimir & A. Tikhonova, 2014. "Analysis of Approaches of Participants of Pension Products Market to the Development of Optimal Investment Strategies of Pension Savings," Published Papers r90227, Russian Presidential Academy of National Economy and Public Administration.
    7. André Lucas & Arjen Siegmann, 2008. "The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 200-226, January.
    8. Ines Fortin & Jaroslava Hlouskova, 2015. "Downside loss aversion: Winner or loser?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 181-233, April.
    9. Shushang Zhu & Duan Li & Shouyang Wang, 2009. "Robust portfolio selection under downside risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 869-885.
    10. Fortin, Ines & Hlouskova, Jaroslava, 2012. "Optimal Asset Allocation under Quadratic Loss Aversion," Economics Series 291, Institute for Advanced Studies.

  12. Siegmann, Arjen, 2002. "Optimal saving rules for loss-averse agents under uncertainty," Economics Letters, Elsevier, vol. 77(1), pages 27-34, September. See citations under working paper version above.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-URE: Urban and Real Estate Economics (6) 2007-02-17 2007-03-03 2007-03-17 2017-02-19 2017-06-11 2018-02-05. Author is listed
  2. NEP-BAN: Banking (2) 2012-12-15 2013-03-02
  3. NEP-CBA: Central Banking (2) 2013-03-02 2016-09-04
  4. NEP-EEC: European Economics (2) 2012-12-15 2016-09-04
  5. NEP-FMK: Financial Markets (2) 2014-11-12 2014-11-17
  6. NEP-CMP: Computational Economics (1) 2012-12-15
  7. NEP-EFF: Efficiency and Productivity (1) 2013-03-02
  8. NEP-EUR: Microeconomic European Issues (1) 2017-06-11
  9. NEP-FIN: Finance (1) 2001-10-16
  10. NEP-GEO: Economic Geography (1) 2007-03-03
  11. NEP-IND: Industrial Organization (1) 2018-02-05
  12. NEP-POL: Positive Political Economics (1) 2012-12-15
  13. NEP-RMG: Risk Management (1) 2016-09-04
  14. NEP-UPT: Utility Models and Prospect Theory (1) 2011-02-26

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