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Lu Xiao

BNP Paribas Investment Partners

Quantitative analyste

14 rue bergère

Paris, 75009

France

  • BNP Paribas Investment Partners

SCHOLARLY PAPERS

6

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Rank 17,613

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Top 17,613

in Total Papers Downloads

2,227

CITATIONS

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Scholarly Papers (6)

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1.

Multi-Alpha Equity Portfolios: An Integrated Risk Budgeting Approach for Robust Constrained Portfolios

Forthcoming Journal of Asset Management
Number of pages: 34 Posted: 10 Nov 2012 Last Revised: 29 Jun 2014
Raul Leote de Carvalho, Lu Xiao and Pierre Moulin
BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 678 (19,602)

Abstract:

robust optimization, risk budgeting, alpha, smart-beta, beta premia, portfolio construction, black-litterman, index funds, active management

2.

Low Risk Anomaly Everywhere - Evidence from Equity Sectors

Number of pages: 25 Posted: 20 Nov 2014
Raul Leote de Carvalho, Majdouline Zakaria, Lu Xiao and Pierre Moulin
BNP Paribas Investment Partners, BNP Paribas - BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 121 (91,261)

Abstract:

3.

Insights into Robust Portfolio Optimization: Decomposing Robust Portfolios into Mean-Variance and Risk-Based Portfolios

Number of pages: 30 Posted: 09 Sep 2015
Romain Perchet, Lu Xiao, Raul Leote de Carvalho and Thomas Heckel
Ecole des Hautes Etudes en Sciences Sociales (EHESS), BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Asset Management
Downloads 55 (105,189)

Abstract:

portfolio optimization, portfolio construction, robust optimization, risk-based portfolios, minimum variance, risk parity, equal-risk budget, equally-weighted, mean-variance, Markowitz

4.

Diversify and Purify Factor Premiums in Equity Markets

Number of pages: 24 Posted: 09 Jan 2017
Raul Leote de Carvalho, Lu Xiao, François Soupé and Patrick Dugnolle
BNP Paribas Investment Partners, BNP Paribas Investment Partners, THEAM, BNP Paribas Investment Partners and BNP Paribas - BNP Paribas Investment Partners
Downloads 0 (25,115)

Abstract:

Factor Investing, Value, Quality, Momentum, Low Risk, Smart Beta, Equities

5.

Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets

The Journal of Fixed Income, vol. 23, no. 4, Spring 2014.
Posted: 07 Sep 2013 Last Revised: 03 Feb 2015
Raul Leote de Carvalho, Patrick Dugnolle, Lu Xiao and Pierre Moulin
BNP Paribas Investment Partners, BNP Paribas - BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners

Abstract:

Low Risk Anomaly, Fixed Income, CAPM, Minimum Variance

6.

Demystifying Equity Risk-Based Strategies: A Simple Alpha Plus Beta Description

The Journal of Portfolio Management, vol. 38, no. 3, Spring 2012.
Posted: 25 Oct 2011 Last Revised: 03 Feb 2015
Raul Leote de Carvalho, Lu Xiao and Pierre Moulin
BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners

Abstract:

low volatility, risk-based, minimum variance, equally-weighted, equal-risk budget, equal-risk contribution, maximum diversification, portfolio construction

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