1987 …2018
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Personal profile

Research interests

Bertrand Melenberg is professor of Econometrics and Finance at the Department of Econometrics & OR. He is also part-time affiliated to the Finance Department of the University. His research interests cover various fields such as Longevity Risk, Empirical Finance (Asset Pricing), Robust Optimization, and Environmental Econometrics. He is the Netspar-track coordinator. He teaches various courses in econometrics and finance, and supervises Ph.D. students.

Career

2004- present Professor of Econometrics and Finance, Tilburg University

1999- 2003 Associate Professor of Econometrics and Finance, Tilburg

University

1993 - 1999 Assistant Professor of Econometrics, Tilburg University

1989 - 1993 Research Associate, N.W.O. (Netherlands Organization for

Scientific Research)

1991 - 1993 Lecturer (0.2), Tilburg University

1986 - 1989 Research Associate, Economics Institute Tilburg (EIT)

1983 - 1985 Research Assistant, University of Groningen

 

Administration

Coordinator Netspar Tracks

 

Teaching

Graduate programme

  • Financial Econometrics

Econometrics programme

  • Introduction Finance and Actuarial Science (first year BSc Econometrics and OR), Introduction Asset Pricing (second year BSc Econometrics and OR).
  • Supervision Bachelor's theses in Econometrics and OR.
  • Empirical Finance (MSc Econometrics and Mathematical Economics (EME) and MSc Quantitative Finance and Actuarial Science (QFAS)).
  • Supervision Master's theses in MSc Econometrics and Mathematical Economics (EME) and MSc Quantitative Finance and Actuarial Science (QFAS).

Business Administration programme:

  • Investment Analysis of Pensions and Insurance (MSc Finance)
  • Supervision Master's theses in MSc Finance

 

Current courses

Click here for my courses.

PhD supervision

Current Ph.D. Students

  • Gabor Neszveda 
  • Matjaz Maletic
  • Pintao Lyu

 Past Ph.D. Students

  • Erwin Charlier. Limited dependent variable models for panel data. November 28, 1997. (Supervised jointly with Arthur van Soest.)
  • Rob Euwals. Empirical studies on individual labour market behaviour. December 12, 1997. (Supervised jointly with Arthur van Soest.)
  • Bas Donkers. Using subjective information to test life cycle models of savings. June 30, 2000. (Ssupervised jointly with Arthur van Soest.)
  • Joost Driessen. Empirical studies on the pricing of bonds and interest rate derivatives  June 6, 2001.  (Supervised jointly with Theo Nijman.)
  • Rosalia Vazquez Alvarez.  A nonparametric approach to the sample selection problem in survey data. June 26, 2001. (Supervised jointly with Arthur van Soest.)
  • Jeroen Kerkhof. Model risk and robust hedging. November 7, 2003. (Supervised jointly with Hans Schumacher.)
  • Simon Polbennikov. Modelling of  and empirical studies on portfolio choice, option pricing, and credit risk. November 18, 2005.
  • Youwei Li. On Microscopic Simulation Models of Financial Markets. September 18, 2006. (Supervised jointly with Bas Donkers.)
  • Norbert Hari. Modeling Mortality. January 12, 2007. (Supervised jointly with Anja De Waegenaere and Theo Nijman.)
  • Leon Zolotoy. Information Transfer Between and Informational Efficiency of Stock Markets. June 25, 2008.
  • Hendri Adriaens. Financial Markets with Data-Driven Investment Decisions. December 3, 2008. (Supervised jointly with Bas Donkers.)
  • Ralph Stevens. Longevity Risk in Life Insurance Products. February 11, 2011. (Supervised jointly with Anja De Waegenaere.).
  • Jie Zheng. Longevity Risk and Health Expectancy: The Case of China. December 10, 2012.
  • Sara Amaroso. Heterogeneity of Innovative, Collaborative, and Productive Firm-Level Processes. January 30, 2013. (Supervised jointly with Jef Plasmans.)
  • Robert Kozarski. Pricing and Hedging in the VIX Derivative Market. May 17, 2013. (Supervised jointly with Feico Drost.)
  • Beatrice Pataracchia. Ambiguity Aversion and Heterogeneity in Financial Markets: An Empirical and Theoretical Perspective. May 27, 2013.
  • Rasa Stasiukynaite. Essays on Validation and Estimation of Agent-Based Models and on Overconfidence Measures. January 20, 2014. (Supervised jointly with Hendri Adriaens.)
  • Ying Yang. Modeling Health and Mortality Dynamics, and Their Effects on Public Finnace. September 2, 2014. (Supervised jointlywith Anja De Waegenaere.)
  • Suphi Sen Essays in Environmental and Political Economics. September 8, 2014. (Supervised jointly with Erwin Bulte.)
  • Geng Niu. Essays on Subjective Expectations and Mortality Trends. September 30, 2014. (Supervised jointly with Arthur van Soest.)
  • Hong Li. Managing Longevity Risk, June 23, 2015. (Supervised jointly with Anja De

Keywords

  • Micro-Econometrics
  • Finance
  • General Econometrics
  • Empirical Finance
  • Statistics
  • Econometrics

Fingerprint Dive into the research topics where Bertrand Melenberg is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

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Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 1987 2018

Robust optimization with ambiguous stochastic constraints under mean and dispersion information

Postek, K., Ben-Tal, A., den Hertog, D. & Melenberg, B., May 2018, In : Operations Research. 66, 3, p. 814-833

Research output: Contribution to journalArticleScientificpeer-review

Random variables
Computational complexity
Robust optimization
Upper bound

Extending the Scope of Robust Quadratic Optimization

Marandi, A., Ben-Tal, A., den Hertog, D. & Melenberg, B., Jun 2017, (Submitted) Optimization Online.

Research output: Working paperDiscussion paperOther research output

Covariance matrix
Uncertainty

Robust mean-variance hedging of longevity risk

Li, H., Waegenaere, A. M. B. & Melenberg, B., Apr 2017, In : Journal of Risk and Insurance. 84, p. 459-475

Research output: Contribution to journalArticleScientificpeer-review

Hedge
Longevity risk
Mean-variance hedging
Probability distribution
Parameter uncertainty

An Evaluation of the nFTK

Shu, L., Melenberg, B. & Schumacher, H., May 2016, Tilburg: NETSPAR, 48 p. (Netspar Industry Paper; vol. Design 57).

Research output: Working paperDiscussion paperOther research output

Open Access
File
Scenarios
Evaluation
Pension funds
Economics
VAR model

Computationally tractable counterparts of distributionally robust constraints on risk measures

Postek, K., den Hertog, D. & Melenberg, B., 3 Nov 2016, In : SIAM Review. 58, 4, p. 603-650 48 p.

Research output: Contribution to journalArticleScientificpeer-review

Risk Measures
Probability distributions
Probability Distribution
Uncertainty
Probability Metrics

Projects 1999 2014

Essays in enviromental and political economics

Sen, S., Melenberg, B. & Bulte, E. H.

1/09/101/09/13

Project: Research project

Essays on heterogeneous agent-based modeling and behavioural finance

Stasiukynaite, R., Melenberg, B. & Adriaens, H. P. J. M.

1/09/101/09/13

Project: Research project

Longevity risk

Zheng, J. & Melenberg, B.

1/09/0810/12/12

Project: Research project