.
van Vliet, Pim's
Scholarly Papers
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Aggregate Statistics
Total 26,917
Total Citations 82
1.
Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
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Blitz, David Robeco Asset Management - Quantitative Strategies
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
07 Aug 08
Last Revised:
18 Aug 10
9,118(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
633
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
8,485
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
4,071(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
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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(2,057)
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.
Sorting Out Downside Beta
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Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Lansdorp, Simon D. Robeco Quantitative Strategies
Posted:
17 Mar 09
Last Revised:
10 Oct 12
1,343(5,653)
1
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Lansdorp, Simon D. Robeco Quantitative Strategies
Posted:
06 Jan 12
Last Revised:
10 Oct 12
507
1
Asset pricing, downside beta, CAPM, downside risk, semi-variance
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Lansdorp, Simon D. Robeco Quantitative Strategies
Posted:
17 Mar 09
Last Revised:
09 Dec 10
836
1
asset pricing, downside risk, semi-variance, lower partial moments, beta
5.
Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
24 Apr 10
Last Revised:
07 Oct 12
1,276(6,182)
1
Calendar effects, Halloween indicator, Holiday effect, January effect, Seasonal patterns, Turn-of-the-month effect, Weekend effect
6.
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
1,271(6,214)
1
Asset pricing, downside risk, conditional tests, CAPM, non-linear kernels, asymmetry, semi-variance, lower partial moments
7.
Global Tactical Sector Allocation: A Quantitative Approach
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Doeswijk, Ronald Q. Robeco
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
19 Jan 11
Last Revised:
01 Nov 11
1,221(6,610)
1
Doeswijk, Ronald Q. Robeco
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
0
Global tactical sector allocation, out-of-sample predictability, momentum, earnings revisions, valuation, Fed policy, Sell in May, Halloween seasonal
Doeswijk, Ronald Q. Robeco
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
1,221
1
Global Tactical Sector Allocation, Out-of-Sample Predictability, Momentum, Earnings Revisions, Valuation, Fed Policy, Sell In May, Halloween Seasonal
8.
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
932(10,309)
16
stock market efficiency, asset pricing, SSD, lower partial moments, downside risk
9.
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Levy, Haim Hebrew University of Jerusalem - Jerusalem School of Business Administration
795(13,237)
24
asset pricing, risk aversion, skewness preference, representative investor, three-moment model
10.
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
768(13,957)
4
Fama-French factors, Carhart factor, SMB, HML, WML, efficiency tests
11.
The Volatility Effect in Emerging Markets
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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(19,247)
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
12.
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(19,572)
2
Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction, Rebalancing
13.
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(25,004)
1
14.
Portfolio Return Characteristics of Different Industries
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Pouchkarev, I. Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Spronk, J. Erasmus Research Institute of Management (ERIM)
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Posted:
27 May 03
Last Revised:
10 Nov 09
498(25,573)
1
Pouchkarev, I. Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Spronk, J. Erasmus Research Institute of Management (ERIM)
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
0
Portfolio Management, Investments, Stock Markets, Sector Index, Performance Evaluation
Pouchkarev, I. Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Spronk, J. Erasmus Research Institute of Management (ERIM)
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
498
1
portfolio management, investments, stock markets, sector index, performance evaluation
15.
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
Blitz, David Robeco Asset Management - Quantitative Strategies
481(26,767)
2
benchmarking, low-volatility, volatility effect, minimum variance, minimum volatility, alpha
16.
Baltussen, Guido Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
453(28,989)
1
downside risk, semi-variance, interest rates, fixed income, value premium, asset pricing, behavioral finance, bond returns
17.
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
345(40,762)
7
Downside risk, conditional downside risk, CAPM, non-linear kernel, asymmetry, semi-variance, lower partial moments
18.
Baltussen, Guido Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Post, Thierry Koc University - Graduate School of Business
van Vliet, Pim Robeco Asset Management - Quantitative Strategies
212(70,326)
Cumulative prospect theory, expected utility, mixed gambles, probability weighting, stochastic dominance
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