Weena 850
Rotterdam, 3014 DA
Netherlands
Robeco Asset Management - Quantitative Strategies
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
GTAA, Asset Allocation, Tactical Asset Allocation, Momentum, Value, Alpha
GTAA, value effect, momentum, global asset allocation
alpha, strategic asset allocation, volatility, volatility effect, low risk stocks, CAPM, Fama-French factors, international
asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return
Quantitative Investing, Factor Investing, Low Volatility, Net Payout, Momentum, Conservative Formula
volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly
asset pricing, 5-factor model, 3-factor model, CAPM, low-beta, momentum
short-term reversal, dynamic risks, residual returns, trading costs, market efficiency
momentum, time-varying risk, stock-specific returns, residual returns
asset pricing, idiosyncratic momentum, momentum crashes, risk management
strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management
passive investing, index fund, ETF, dividend taxes, performance evaluation
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: j-036X.pdf Size: 467K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
factor investing, smart beta, value, momentum, low volatility
volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility
factor investing, factor premiums, smart beta, exchange-traded funds, ETFs, value, momentum, low-volatility, overcrowding, factor crowding
Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction
factor investing, smart beta
commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility
factor investing, smart beta, factor premiums, size, value, momentum, quality, low-volatility
mutual fund performance, active versus passive, persistence, index funds, momentum
Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction, Rebalancing
benchmarking, low-volatility, volatility effect, minimum variance, minimum volatility, alpha
low volatility, low beta, profitability, betting against beta, 5-factor model
Low-Volatility Anomaly, Low-Beta Anomaly, Betting against Beta, Limits to Arbitrage, Hedge Funds, Factor Investing
low volatility, low beta, betting against beta, value
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
passive investing, index fund, ETF, emerging markets, performance evaluation, dividend taxes, tracking error
Exchange-traded funds, Performance evaluation, Tracking error
asset pricing, beta anomaly, volatility anomaly, Fama-French 3-factor model, agency problems, delegated portfolio management
File name: EUFM.pdf Size: 0K
asset pricing, beta anomaly, volatility anomaly, Fama‐French 3‐factor model, agency problems, delegated portfolio management
Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II
sin stocks, vice, quality, profitability, investment, asset pricing, 5-factor model
Risk budgeting, tracking error, risk management
