Lu Xiao

BNP Paribas Investment Partners

Quantitative analyste

14 rue bergère

Paris, 75009

France

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 19,262

SSRN RANKINGS

Top 19,262

in Total Papers Downloads

1,919

CITATIONS

0

Scholarly Papers (6)

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
BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 678 (19,709)

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
BNP Paribas Investment Partners, BNP Paribas - BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 121 (97,648)

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
French National Center for Scientific Research (CNRS) - Ecole des Hautes Etudes en Sciences Sociales (EHESS), BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Asset Management
Downloads 55 (118,730)

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
BNP Paribas Investment Partners, BNP Paribas Investment Partners, THEAM, BNP Paribas Investment Partners and BNP Paribas - BNP Paribas Investment Partners
Downloads 0 (36,095)

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
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
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