Dr. Pieter Jelle van der Sluis

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Formal Training

PhD in Economics and Econometrics, University of Amsterdam (1999). Supervisors professors Jan Kiviet and Peter Boswijk. Tinbergen Institute Graduate School

MA in Econometrics, Free University Amsterdam (1994).

Career

2008-present Senior Portfolio Manager GTAA Fund, APG Investments, The Netherlands

2006-2008 Senior Portfolio Manager GTAA Fund, ABP Investments, The Netherlands

2003-present Assistant Professor of Finance (part-time), Free University Amsterdam

2000-2005 Senior Researcher, ABP Investments, The Netherlands

1998-2000 Assistant Professor of Econometrics, Quantitative Finance and Statistics / Fellow of CentER, Tilburg University

1994-1998 Assistant Researcher, Department of Actuarial Science and Econometrics, University of Amsterdam

Expertise: Derivatives; Econometrics; Investments; Mathematical Statistics; Portfolio Management; Quantitative Finance

Teaching: Econometrics, Finance, Mathematical Statistics; Supervision of Master's students

Email Address: pjvandersluisNO@SPAMwanadoo.nl (Remove NO and SPAM)

Publications:

2008

 

[15] Forecasting Market Impact Costs and Identifying Expensive Trades (with Jacob Bikker, Laura Spierdijk and Roy Hoevenaars), Forthcoming Journal of Forecasting 2008

 

[14] What Factors Increase the Risk of Incurring High Market Impact Costs? (with Jacob Bikker and Laura Spierdijk) Forthcoming Applied Economics. 2008. 

 

2007

 

[13] Nieuwe Ontwikkelingen op het gebied van beleggen. (with Tom Steenkamp and Evert Vrugt). Chapter 7 in PBM Dossier Reeks “Beleggen”. Carel Petersen and Jean Frijns (eds). Forthcoming (in Dutch).

 

[12] Market Impact Costs of Institutional Equity Trades (with Jacob Bikker and Laura Spierdijk). Journal of International Money and Finance. (2007). 

 

2006

 

[11] Return-based style analysis with time-varying exposures. (with Laurens Swinkels). European Journal of Finance. (2006). Vol. 12 No 6-7, 529-552.

 

[10] Analyzing Style Drift in Hedge Funds. Chapter 4 in Hedge Funds : Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation, Greg N. Gregoriou, Nicolas Papageorgiou, Georges Hübner, Fabrice Rouah (eds) New York: Wiley (2005).ISBN: 0-471-73743-7.  (Jointly with N. Posthuma)

 

2005

 

[9] The Hedge Fund Paradigm. Chapter 8 in Risk Management: A Modern Perspective, Michael Ong (ed). Academic Press. (2005) (Jointly with N. Posthuma)

 

 

2004

 

[8] Unveiling hedge funds. Fiducie 13/2, 17-24. (jointly with N. Posthuma). (2004).

 

[7] A critical examination of historical hedge fund returns. Chapter 13 in Intelligent Hedge Fund Investing: Successfully Avoiding Pitfalls through Better Risk Evaluation, Barry Schachter (ed). Risk Books. (2004). With N. Posthuma. ISBN 1 904339 22 0.

 

2000

 

[6] Option Pricing with the Efficient Method of Moments , Chapter 42, p661-687 in Computational Finance 1999, Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend (eds.). Cambridge, MA: MIT Press. ISBN 0-262-01178-6  (jointly with dr. G.J. Jiang) (2000).

 

[5] Het waarderen van opties met behulp van econometrische simulatietechnieken, Nieuw Ekonometries Tijdschrift (Nekst), (2000)

 

1999

 

[4] Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates. European Finance Review (Jointly with dr. G.J. Jiang) 3, 273-310 (1999). Journal renamed Review of Finance in 2004.

 

[3] Estimation and Inference with the Efficient Method of Moments: With Applications to Stochastic Volatility Models and Option Pricing, Amsterdam: Thela Thesis. (1999) Book.

 

1998

 

[2] Computationally Attractive Stability Tests for the Efficient Method of Moments, Econometrics Journal 1, C203-C227 (1998).

 

 

1997

 

[1] EmmPack 1.01: C/C++ code for use with Ox for Estimation of Univariate Stochastic Volatility Models, Studies in Nonlinear Dynamics and Econometrics 2, 77-94 (1997).

 

Unpublished working papers:

 

·        Kraeussl, R. , Lucas, A. , Rijsbergen, D.R. van der Sluis, P.J. and Vrugt, E.B. (2009), Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle, Tinbergen Institute Discussion Paper No. 08-101/2

·        Posthuma, N and van der Sluis, P.J. (2004), A Reality Check on Hedge Fund Returns. VU Research Memorandum 2003-17. 

·        Swinkels, L.A.P. and van der Sluis, P.J. and M. Verbeek (2003), Market Timing: A decomposition of mutual fund returns. CentER  Discussion paper 2003-95

·        Jiang, G.J. & van der Sluis, P.J. (1998), "Forecasting volatility under multivariate stochastic volatility via reprojection"

Last modified: November 5, 2009.