Bio

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 teaches various courses in econometrics and finance, and supervises Ph.D. students.

Courses

Recent publications

  1. Extending the scope of robust quadratic optimization

    Marandi, A., Ben-Tal, A., den Hertog, D., & Melenberg, B. (2022). Extending the scope of robust quadratic optimization. INFORMS Journal on Computing, 34(1), 211-226.
  2. A multi-population approach to forecasting all-cause mortality using …

    Lyu, P., De Waegenaere, A. M. B., & Melenberg, B. (2021). A multi-population approach to forecasting all-cause mortality using cause-of -death mortality data. North American Actuarial Journal, 25(S1), S421-S456.
  3. Robust optimization with ambiguous stochastic constraints under mean …

    Postek, K., Ben-Tal, A., den Hertog, D., & Melenberg, B. (2018). Robust optimization with ambiguous stochastic constraints under mean and dispersion information. Operations Research, 66(3), 814-833.
  4. Robust mean-variance hedging of longevity risk

    Li, H., De Waegenaere, A. M. B., & Melenberg, B. (2017). Robust mean-variance hedging of longevity risk. Journal of Risk and Insurance, 84, 459-475.
  5. Extending the Scope of Robust Quadratic Optimization

    Marandi, A., Ben-Tal, A., den Hertog, D., & Melenberg, B. (2017). Extending the Scope of Robust Quadratic Optimization. Optimization Online. http://www.optimization-online.org/DB_HTML/2017/05/6017.html

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