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Research Output 1998 2019

2019

Robust hedging in incomplete markets

Shen, S., Pelsser, A. & Schotman, P., Jul 2019, In : Journal of Pension Economics & Finance. 18, 3, p. 473-493 21 p.

Research output: Contribution to journalArticleAcademicpeer-review

2017

Default life-cycles for retirement savings

Grebenchtchikova, A., Molenaar, R., Schotman, P. & Werker, B., 15 Mar 2017, Netspar. 68 p. (Netspar Industry Paper Series; No. 70).

Research output: Book/ReportReportProfessional

Interest rate models for pension and insurance regulation

Broeders, D., Schotman, P. & de Jong, F., 2017, In : Verzekerings-Archief. 1, p. 15-25

Research output: Contribution to journalArticleProfessional

The Volatility of Long-Term Bond Returns: Persistent Interest Shocks and Time-Varying Risk Premiums

Osterrieder, D. & Schotman, P., Dec 2017, In : Review of Economics and Statistics. 99, 5, p. 884-895 12 p.

Research output: Contribution to journalArticleAcademicpeer-review

2016

Estimating Security Betas Using Prior Information Based on Firm Fundamentals

Cosemans, M., Frehen, R., Schotman, P. & Bauer, R., Apr 2016, In : Review of Financial Studies. 29, 4, p. 1072-1112 41 p.

Research output: Contribution to journalArticleAcademicpeer-review

Interest rate models for pension and insurance regulation

Broeders, D., de Jong, F. & Schotman, P., 31 May 2016, Netspar. 39 p. (Netspar Industry Paper Series; No. 56).

Research output: Book/ReportReportProfessional

Open grenzen in Maastricht

Schotman, P., Strobel, M. & van Veen, T., 2016, In : Economisch Statistische Berichten. 101, 4726, p. 74-76

Research output: Contribution to journalArticleAcademicpeer-review

2015
3 Citations (Scopus)

Long-term strategic asset allocation: An out-of-sample evaluation

Diris, B. F., Palm, F. C. & Schotman, P. C., Sep 2015, In : Management Science. 61, 9, p. 2185-2202 18 p.

Research output: Contribution to journalArticleAcademicpeer-review

2014

Strategic asset allocation for long-term investors: Parameter uncertainty and prior information

Hoevenaars, R. P. P. M., Molenaar, R. D. J., Schotman, P. C. & Steenkamp, T. B. M., 1 Jan 2014, In : Journal of Applied Econometrics. 29, 3, p. 353-376

Research output: Contribution to journalArticleAcademicpeer-review

2013

Modelrisico op de balans

Schotman, P. C., 1 Jan 2013, In : Pensioen Bestuur en Management. 4, p. 30-33 4 p.

Research output: Contribution to journalArticleProfessional

2012

De RAM in het nieuwe pensioenakkoord

de Jong, F. & Schotman, P. C., 1 Jan 2012, Tilburg: Netspar. (Netspar Design Paper; No. 10).

Research output: Book/ReportReportProfessional

Open Access
2010

Commissie Parameters: verruim taakopdracht naar risico en rendement

Schotman, P. C., 1 Jan 2010, In : Tijdschrift voor Pensioenvraagstukken. 2010-3, p. 31-33 3 p.

Research output: Contribution to journalArticleProfessional

18 Citations (Scopus)

Conditional Asset Pricing and Stock Market Anomalies in Europe

Bauer, R. M. M. J., Cosemans, M. M. J. E. & Schotman, P. C., Mar 2010, In : European Financial Management. 16, 2, p. 165-190 26 p.

Research output: Contribution to journalArticleAcademicpeer-review

Heeft de langetermijnbelegger tijd om op de lange termijn te wachten?

Schotman, P. C., 1 Jan 2010, In : Pensioen Bestuur en Management. 2010-1, p. 6-7 2 p.

Research output: Contribution to journalArticleProfessional

8 Citations (Scopus)

Price Discovery in Fragmented Markets

de Jong, F. & Schotman, P. C., 1 Jan 2010, In : Journal of Financial Econometrics. 8, 1, p. 1-28 28 p.

Research output: Contribution to journalArticleAcademicpeer-review

2 Citations (Scopus)

Robust Portfolio Optimisation with Multiple Experts

Lutgens, F. J. W. & Schotman, P. C., Apr 2010, In : Review of Finance. 14, 2, p. 343-383 41 p.

Research output: Contribution to journalArticleAcademicpeer-review

2009
200 Downloads (Pure)
Open Access
File
7 Citations (Scopus)

Price discovery in tick time

Frijns, B. P. M. & Schotman, P. C., 1 Jan 2009, In : Journal of Empirical Finance. 16, p. 759-776 18 p.

Research output: Contribution to journalArticleAcademicpeer-review

2008

Are market values fair?

Schotman, P. C., 1 Jan 2008, Frontiers in Pension Finance. Eijffinger, B. H. & S., D. A. C. F. J. (eds.). Cheltenham: Edward Elgar Publishing, p. 20-22 3 p.

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic

9 Citations (Scopus)

Long memory and the term structure of risk

Schotman, P. C., Tschernig, R. J. V. & Budek, J., 1 Jan 2008, In : Journal of Financial Econometrics. 6, 4, p. 459-495 37 p.

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)

Regret Aversion and Annuity Risk in Defined Contribution Pension Plans

Hoevenaars, R. P. P. M., Frehen, R. G. P., Palm, F. C. & Schotman, P. C., 1 Jan 2008, In : Insurance: Mathematics and Economics. 42, 3, p. 1050-1061 11 p.

Research output: Contribution to journalArticleAcademicpeer-review

46 Citations (Scopus)

Strategic asset allocation

Schotman, P. C., de Jong, F. & Werker, B., 1 Jan 2008, Tilburg: Netspar. 54 p. (Netspar panel papers; No. 8).

Research output: Book/ReportReportAcademic

46 Citations (Scopus)

Strategic Asset Allocatoin with Liabilities: Beyond Stocks and Bonds

Hoevenaars, R. P. P. M., Molenaar, R. D. J., Schotman, P. C. & Steenkamp, T. B. M., 1 Jan 2008, In : Journal of Economic Dynamics & Control. 32, 9, p. 2939-2970 31 p.

Research output: Contribution to journalArticleAcademicpeer-review

2007
1 Citation (Scopus)

Optimal prepayment of Dutch mortgages

Kuijper, B. H. M. & Schotman, P. C., 1 Jan 2007, In : Statistica Neerlandica. 61, 1, p. 137-155 19 p.

Research output: Contribution to journalArticleAcademicpeer-review

2006
138 Downloads (Pure)

Long memory and the term structure of risk

Budek, J., Schotman, P. C. & Tschernig, R. J. V., 1 Jan 2006, Maastricht: METEOR, Maastricht University School of Business and Economics, 29 p.

Research output: Working paperProfessional

Open Access
File
6 Citations (Scopus)

Nonlinear Dynamics in Nasdaq Dealer Quotes

Frijns, B. P. M. & Schotman, P. C., 1 Jan 2006, In : Computational Statistics & Data Analysis. 51, 4, p. 2246-2266 21 p.

Research output: Contribution to journalArticleAcademicpeer-review

24 Citations (Scopus)

Non-synchronous trading and testing for market integration in Central European emerging markets

Schotman, P. C. & Zalewska, A., 1 Jan 2006, In : Journal of Empirical Finance. 13, p. 462-494 33 p.

Research output: Contribution to journalArticleAcademicpeer-review

Strategic Asset Allocation for Long Term Investors: Parameter Uncertainty and Prior Information

Hoevenaars, R. P. P. M., Molenaar, R. D. J., Schotman, P. C. & Steenkamp, T. B. M., 1 Jan 2006, Maastricht: Maastricht University School of Business and Economics.

Research output: Working paperProfessional

2005
124 Downloads (Pure)
Open Access
File

Het gemiddelde rendement als risicofactor

Schotman, P. C., 1 Jan 2005, Vergezichten. Bauer, Maatman, Mensonides & Steenkamp, Kuné, Sturmans (eds.). Heerlen: ABP, p. 279-285

Research output: Chapter in Book/Report/Conference proceedingConference article in proceedingAcademicpeer-review

119 Downloads (Pure)

Nonlinear dynamics in Nasdaq dealer quotes

Frijns, B. P. M. & Schotman, P. C., 1 Jan 2005, Maastricht: METEOR, Maastricht University School of Business and Economics, 32 p.

Research output: Working paperProfessional

Open Access
File
2003
176 Downloads (Pure)

Direct Estimation of the risk neutral factor dynamics of affine term structure models

Bams, W. F. M. & Schotman, P. C., 1 Jan 2003, In : Journal of Econometrics. 117, p. 179-206 27 p.

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
File
2002
26 Citations (Scopus)
255 Downloads (Pure)

The Cost of Capital in International Financial Markets: Local or Global

Kool, C. J. M., Koedijk, C. G., Schotman, P. C. & van Dijk, M. A., 1 Jan 2002, In : Journal of International Money and Finance. 21, 6, p. 905-929

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
File
2001
59 Citations (Scopus)

Measuring Risk Attitudes in a Natural Experiment: Data from the Television Game Show LINGO

Schotman, P. C. & Beetsma, R., 1 Jan 2001, In : Economic Journal. 111, p. 821-848

Research output: Contribution to journalArticleAcademicpeer-review

110 Downloads (Pure)

When Unit Roots Matter: Excess Volatility and Excess Smoothness of Long-Term Interest Rates

Schotman, P. C., 1 Jan 2001, In : Journal of Empirical Finance. 8, p. 669-694

Research output: Contribution to journalArticleAcademicpeer-review

Open Access
File
1998
57 Downloads (Pure)

Een vlinder in China : over efficiëntie en persistentie

Schotman, P. C., 5 Jun 1998, Maastricht: Universiteit Maastricht. 34 p.

Research output: Book/ReportInaugural speechPopular

Open Access
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