Research

Working papers

• Gautier, P.A., A.H. Siegmann and A.P. van Vuuren (2016) Market Inefficiencies in Broker Choice: Real-Estate Agents and Sales Performance (Updated May 2017)
• Hedge Fund Innovation, with Marcin Zamojski and Denitsa Stefanova. Updated January 2015.

Publications

• Derks, J., J. Gordijn and A.H. Siegmann (2018) Bitcoin: From chaining blocks to breaking even. forthcoming, Electronic Markets. accepted version
• Boes, M.J. and A.H. Siegmann (2018) Intergenerational Risk Sharing under Loss Averse Preferences, Journal of Banking and Finance, 92, 269-279. working paper version
• Siegmann, A.H. and D.G. Stefanova (2017), The Evolving Beta-Liquidity Relationship of Hedge Funds Journal of Empirical Finance, 44, pp. 286-303.
• Siegmann, A.H. (2016), Policy Lessons from Systemic Risk Modeling and Measurement In: M. Billio, L. Pelizzon, R. Savona (eds.) Systemic Risk Tomography: Signals, Measurements and Transmission Channels. ISTE-Elsevier
• Koopman, S.J., R.J. Lange, A. Lucas and A.H. Siegmann (2016) Systemic Risk Signaling using Scores. In M. Billio, L. Pelizzon, R. Savona (eds.) Systemic Risk Tomography: Signals, Measurements and Transmission Channels. ISTE-Elsevier.
• Schoenmaker, D. and A.H. Siegmann (2016) Can European Bank Bailouts Work? Journal of Banking and Finance, 2014, vol. 48, pp. 334-349.
• Risk Aversion under Preference Uncertainty, with Roman Kraeussl and André Lucas, Finance Research Letters, 2012, no. 9, pp. 1-7.
• Minimum Funding Ratios for Defined-Benefit Pension Funds, Journal of Pension Economics and Finance, 2011, 10(3), pp. 417 – 434; .
• Terrorism and attitudes towards minorities: the effect of the Theo van Gogh murder on house prices in Amsterdam, with Pieter Gautier and Aico van Vuuren, Journal of Urban Economics, 2009, 65(1), pp. 113-126.
• The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds, with André Lucas; Journal of Business, Finance and Accounting, 2008, 35(1), pp. 200 – 226 .
• Market Valuation, Pension Fund Policy and Contribution Volatility, with Maarten van Rooij and Peter Vlaar; De Economist, 2008, 156(1), pp. 73 – 93.
• Optimal Investment Policies for Defined Benefit Pension Funds, Journal of Pension Economics and Finance, 2007, 6(1), pp. 1 – 20.
• Discrete-time financial planning models under loss-averse preferences, with André Lucas; Operations Research, 2005, 53(3), p. 403 – 414.
• Beleidsopties voor pensioenfondsen (in Dutch), with Maarten van Rooij and Peter Vlaar; Economische Statistische Berichten (ESB), 2005, 90, nr. 4456, pp. 124 – 127.
• De consequenties van fair value bij pensioenfondsen: Een analyse met het DNB pensioenmodel PALMNET (in Dutch), with Maarten van Rooij and Peter Vlaar; De Actuaris, 2005, 12(3), pp. 17 – 20.
• PALMNET: een Pensioen Asset en Liability Model voor Nederland, with Maarten van Rooij and Peter Vlaar), WO Research Memoranda, 2004, no. 760, Netherlands Central Bank (DNB).
• Comment on Hovanov, Kolari and Sokolov: A stable currency numeraire?, Journal of Economic Dynamics and Control, 2004, 28(8), pp. 1505 – 1510.
• Shortfall Allowed: Loss Aversion and Habit Formation, WO Research Memoranda, no. 741, Netherlands Central Bank (DNB).
• Beter pensioentoezicht door discriminatie (in Dutch), with Jan Bertus Molenkamp; Economische Statistische Berichten (ESB), 2003, 88(4393), p. 32.
• Optimal Financial Decision Making under Loss Averse Preferences, Ph.D. thesis, Vrije Universiteit Amsterdam (defended 7 januari 2003). Tinbergen Insitute Research Series, nr. 302 (ISBN 90-5170-671-5). .
• Pensioenfondsen: Omgaan met onvermijdbare risico’s (in Dutch), with André Lucas and Jan Bertus Molenkamp; Economisch Statistische Berichten, Feb. 1, 2002, 87, nr. 4345, pp. 88 – 89.
• Optimal saving rules for loss-averse agents under uncertainty, Economics Letters, 2002, 77(1), pp. 27 – 34.
• Book review: Worldwide Asset and Liability Modeling by W.T. Ziemba and J.M. Mulvey (eds.), Cambridge University Press, Cambridge, 1998., European Journal of Operations Research, 2000, 122(1), pp. 173 – 174.
• Continuous-time dynamic programming for ALM with Risk averse loss functions, in: Proceedings of the 9th International AFIR Colloquium 1999, Tokyo, The Institute of Actuaries of Japan, pp. 183 – 193.

Other pieces

• Financiële democratie, Fiducie, November 2013.
• Winnaars van de bankenunie, with Dirk Schoenmaker, ESB, 22 maart 2013, Jaargang 98 (4656).
• Winners of a European banking union, VOX EU, February 27, 2013.
• Pensioenfondsen blijven aantrekkelijk voor jongeren, www.mejudice.nl, 10 december 2011.
• Een economische ondergrens voor pensioendekkingsgraden (in Dutch), TPEdigitaal, 2011, 5(2) pp. 53-68.
• Schrap direct de hypotheekrente-aftrek (En compenseer de eigenaren), Trouw, 5 november 2011.
• Het effect van de moord op Theo van Gogh op huizenprijzen in Amsterdam (in Dutch), with Pieter Gautier and Aico van Vuuren; Tijdschrift Politieke Ekonomie, 2006, 27(6), pp. 5 – 19.
• Het FTK: Kritiek op de kritiek (in Dutch), Nederlands Pensioen & Beleggingsnieuws, June/July 2006, pp. 25 – 27.
• Bluff your way into hedge funds, Fiducie, March 2006.

Current teaching

• Bubbles and Crashes (honours programme)
• Financial modeling with Excel (pre-program course MSc Finance/Financial Management)