Lu Xiao

BNP Paribas Investment Partners

Quantitative analyste

14 rue bergère

Paris, 75009

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 19,139

SSRN RANKINGS

Top 19,139

in Total Papers Downloads

5,020

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Diversify and Purify Factor Premiums in Equity Markets

Number of pages: 24 Posted: 09 Jan 2017
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas - BNP Paribas Asset Management
Downloads 1,588 (21,889)
Citation 4

Abstract:

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

2.

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
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 1,339 (28,249)
Citation 1

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

3.

Factor Investing: Get Your Exposures Right!

Number of pages: 29 Posted: 26 Nov 2018
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Asset Management
Downloads 788 (59,767)
Citation 1

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Factor investing, Portfolio Optimization, Robust Optimization, Mean-variance Optimization, Smart Beta, Black-Litterman

4.

Low Risk Anomaly Everywhere - Evidence from Equity Sectors

Number of pages: 25 Posted: 20 Nov 2014
BNP Paribas Asset Management, BNP Paribas - BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 628 (80,066)
Citation 1

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5.

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

Number of pages: 30 Posted: 09 Sep 2015
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 541 (96,652)

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

6.

Allocation to Private Assets in Open-Ended Funds: Capturing the Illiquidity Premium and Managing Liquidity Constraints

Number of pages: 42 Posted: 10 Mar 2023 Last Revised: 04 Dec 2023
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas - BNP Paribas Asset Management, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 88 (531,193)

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Private assets, private equity, private debt, illiquidity premium, open-ended funds, mutual funds, internal rate of return

7.

Towards Second Generation Equity Risk Based Strategies

Number of pages: 32
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 48

Abstract:

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Low Volatility, Low Risk Anomaly, Minimum Variance, Minimum Volatility, Factor Investing, Equities, Smart Beta, Sectors

8.

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
BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners

Abstract:

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Low Risk Anomaly, Fixed Income, CAPM, Minimum Variance

9.

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
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners

Abstract:

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