Anne Balter

Tilburg University

Assistant Professor

P.O. Box 90153

Tilburg, DC Noord-Brabant 5000 LE

Netherlands

Netspar

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 41,512

in Total Papers Downloads

1,346

SSRN CITATIONS

3

CROSSREF CITATIONS

7

Scholarly Papers (5)

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Number of pages: 31 Posted: 28 Jun 2014 Last Revised: 04 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 332 (110,250)
Citation 1

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model uncertainty, indifference pricing, hedging, incomplete markets, robust optimisation

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Netspar Discussion Paper No. 01/2015-002
Number of pages: 31 Posted: 14 Feb 2015 Last Revised: 03 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 110 (300,423)
Citation 4

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Model uncertainty, indifference pricing, hedging, incomplete markets, robustness, optimisation

What Does a Term Structure Model Imply About Very Long-Term Interest Rates?

Number of pages: 37 Posted: 29 Jan 2014 Last Revised: 04 Jun 2020
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 258 (144,065)

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term structure models, parameter uncertainty, extrapolation, insurance supervision

What Does a Term Structure Model Imply about Very Long-Term Interest Rates?

Netspar Discussion Paper No. 02/2014-065
Number of pages: 30 Posted: 14 Feb 2015 Last Revised: 25 Sep 2016
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 112 (296,588)
Citation 1

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term structure models, parameter uncertainty, extrapolation, insurance supervision

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Number of pages: 27 Posted: 06 Jun 2015 Last Revised: 04 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 265 (140,159)

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Model Uncertainty, Financial Econometrics, Financial Mathematics, Robustness

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Netspar Discussion Paper No. 11/2015-038
Number of pages: 27 Posted: 22 Dec 2015 Last Revised: 03 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 47 (484,983)
Citation 2

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Model uncertainty, robustness, stochastic control, optimisation, misspecification, divergence, investment problem

4.

Time-Consistency of Optimal Investment under Smooth Ambiguity

Number of pages: 35 Posted: 22 Sep 2017 Last Revised: 28 Feb 2019
Tilburg University, Mercator School of Management and Tilburg School of Economics and Management
Downloads 144 (244,634)
Citation 1

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Optimal Investment, Smooth Ambiguity, Ambiguity Aversion, Time-Consistency, Pre-Commitment

5.

Homothetic Robust Preferences

Number of pages: 20 Posted: 10 Sep 2018 Last Revised: 28 Feb 2019
Anne Balter and Ferenc Horvath
Tilburg University and City University of Hong Kong (CityUHK)
Downloads 78 (371,414)
Citation 1

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Robustness, Uncertainty, Ambiguity, Homothetic Preferences, Martingale Method