Roy Kouwenberg

Roy Kouwenberg is Professor and Director of the Ph.D. Program at Mahidol University, College of Management, in Bangkok. Roy received his Ph.D. in Finance from Erasmus University Rotterdam in the Netherlands and holds a Master’s degree in Econometrics from Erasmus. He is a CFA charterholder. Prior to joining CMMU, Roy held positions as a postdoctoral fellow at the University of British Columbia, Canada, as a quantitative researcher at AEGON Asset Management, The Netherlands, and as an assistant professor at the Asian Institute of Technology, Thailand. He is a visiting researcher at the Erasmus School of Economics, The Netherlands.

Dr. Roy’s research area is finance and investments. His main focus is on behavioral finance, especially the impact of loss aversion and ambiguity aversion on investor portfolios. He has also done extensive research on financial risk management, especially asset-liability management for pension funds and insurance firms. Since moving to Asia, Roy has also analyzed the corporate governance of listed firms in Asia.

Dr. Roy has published his work in the Journal of Financial Economics, Review of Financial Studies, and Management Science, amongst others. He is an editor of the Journal of Pension Economics and Finance. He has refereed articles for the Journal of Finance, Review of Financial Studies, American Economic Review, Econometrica, and many other leading academic journals.

Selected Publications

• Stephen Dimmock, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg (2021), Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field, Review of Financial Studies, vol. 34(9), 4524-4563.
• Roy Kouwenberg, Agnieszka Markiewicz, Ralph Verhoeks and Remco Zwinkels (2017), Model Uncertainty and Exchange Rate Forecasting, Journal of Financial and Quantitative Analysis, vol. 52(1), 341-363.
• Stephen Dimmock, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg (2016), Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence, Journal of Financial Economics, vol. 119(3), p. 559-577.
• Stephen Dimmock, Roy Kouwenberg and Peter Wakker (2016), Ambiguity Attitudes in a Large Representative Sample, Management Science, vol. 62(5), 1363-1380.
• Arjan Berkelaar, Roy Kouwenberg and Thierry Post (2004), Optimal Portfolio Choice under Loss Aversion, Review of Economics & Statistics, vol. 84, 973-987.
• Jacek Gondzio and Roy Kouwenberg (2001), High-Performance Computing for Asset Liability Management, Operations Research, vol. 49(6), 879-891.