.
Blitz, David's
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 24,064
Total Citations 38
1.
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Blitz, David Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
07 Aug 08
Last Revised:
18 Aug 10
9,121(171)
4
Blitz, David Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
08 Oct 08
Last Revised:
18 Aug 10
634
4
GTAA, value effect, momentum, global asset allocation
Blitz, David Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
07 Aug 08
Last Revised:
04 May 10
8,487
4
GTAA, Asset Allocation, Tactical Asset Allocation, Momentum, Value, Alpha
2.
Blitz, David Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
4,073(795)
14
alpha, strategic asset allocation, volatility, volatility effect, low risk stocks, CAPM, Fama-French factors, international
3.
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Blitz, David Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
19 Feb 09
Last Revised:
10 Oct 11
2,402(2,059)
Blitz, David Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
0
asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return
Blitz, David Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
19 Feb 09
Last Revised:
17 Jul 09
2,402
asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return
4.
The Performance of European Index Funds and Exchange-Traded Funds
|
Show Abstracts |
Hide Abstracts |
Versions (3)
|
hide multiple versions |
Export Bibliographic Info |
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
Posted:
26 Jul 09
Last Revised:
23 Aug 12
1,166(7,159)
2
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Swinkels, Laurens affiliation not provided to SSRN
0
2
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
0
passive investing, index fund, ETF, dividend taxes, performance evaluation
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
Posted:
26 Jul 09
Last Revised:
18 May 10
1,166
2
passive investing, index fund, ETF, dividend taxes, performance evaluation
5.
Fundamental Indexation: An Active Value Strategy in Disguise
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Blitz, David Robeco Asset Management - Quantitative Strategies
Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
Posted:
29 Jul 08
Last Revised:
20 Jan 09
1,126(7,595)
8
Blitz, David Robeco Asset Management - Quantitative Strategies
Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
0
Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction
Blitz, David Robeco Asset Management - Quantitative Strategies
Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
Posted:
29 Jul 08
Last Revised:
15 Dec 08
1,126
8
Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction
6.
Strategic Allocation to Premiums in the Equity Market
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Blitz, David Robeco Asset Management - Quantitative Strategies
Posted:
25 Oct 11
Last Revised:
14 Mar 12
1,120(7,675)
Blitz, David Robeco Asset Management - Quantitative Strategies
0
strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management
Blitz, David Robeco Asset Management - Quantitative Strategies
1,120
strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management
7.
Short-Term Residual Reversal
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Lansdorp, Simon D. Robeco Quantitative Strategies
Verbeek, Marno Erasmus University - Rotterdam School of Management
Posted:
18 Aug 11
Last Revised:
01 Nov 12
1,022(8,947)
1
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Lansdorp, Simon D. Robeco Quantitative Strategies
Verbeek, Marno Erasmus University - Rotterdam School of Management
0
short-term reversal, dynamic risks, residual returns, trading costs, market efficiency
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Lansdorp, Simon D. Robeco Quantitative Strategies
Verbeek, Marno Erasmus University - Rotterdam School of Management
Posted:
18 Aug 11
Last Revised:
01 Nov 12
1,022
1
short-term reversal, dynamic risks, residual returns, trading costs, market efficiency
8.
Blitz, David Robeco Asset Management - Quantitative Strategies
628(18,688)
1
Portfolio Management, Portfolio Construction, 130/30, Short-Extension, Alpha-Extension, Enhanced Active Strategies, Long-Only Constraint, Short Positions, Alpha, Beta, Equity Strategies, Hedge Fund Strategies, Alternative Investments, Hedge Fund Strategies
9.
The Volatility Effect in Emerging Markets
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Blitz, David Robeco Asset Management - Quantitative Strategies
Pang, Juan Shell Asset Management Company
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
06 May 12
Last Revised:
14 Apr 13
616(19,220)
2
Blitz, David Robeco Asset Management - Quantitative Strategies
Pang, Juan Shell Asset Management Company
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
0
volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility
Blitz, David Robeco Asset Management - Quantitative Strategies
Pang, Juan Shell Asset Management Company
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
06 May 12
Last Revised:
18 Dec 12
616
2
volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility
10.
Blitz, David Robeco Asset Management - Quantitative Strategies
van der Grient, Bart Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
25 Mar 10
Last Revised:
30 Sep 10
608(19,577)
2
Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction, Rebalancing
11.
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Blitz, David Robeco Asset Management - Quantitative Strategies
van der Grient, Bart Robeco Asset Management - Quantitative Strategies
507(25,012)
1
12.
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Posted:
14 Feb 12
Last Revised:
05 Feb 13
485(26,558)
mutual fund performance, active versus passive, persistence, index funds, momentum
13.
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Blitz, David Robeco Asset Management - Quantitative Strategies
482(26,776)
2
benchmarking, low-volatility, volatility effect, minimum variance, minimum volatility, alpha
14.
Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Posted:
10 Feb 11
Last Revised:
06 Mar 12
441(29,996)
1
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
0
Exchange-traded funds, Performance evaluation, Tracking error
Blitz, David Robeco Asset Management - Quantitative Strategies
Huij, Joop Erasmus University - Rotterdam School of Management
Posted:
10 Feb 11
Last Revised:
13 Jan 12
441
1
passive investing, index fund, ETF, emerging markets, performance evaluation, dividend taxes, tracking error
15.
Blitz, David Robeco Asset Management - Quantitative Strategies
Posted:
29 May 12
Last Revised:
20 Dec 12
251(58,897)
asset pricing, beta anomaly, volatility anomaly, Fama-French 3-factor model, agency problems, delegated portfolio management
16.
Blitz, David Robeco Asset Management - Quantitative Strategies
de Groot, Wilma Robeco Asset Management
16(289,057)
commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility
17.
Blitz, David Robeco Asset Management - Quantitative Strategies
Hottinga, Jouke AEGON Group
Risk budgeting, tracking error, risk management
