Wouter J. Keller

VU University Amsterdam

Professor Emeritus

De Boelelaan 1105

Amsterdam, NH 1081 HV

Netherlands

  • VU University Amsterdam

    • Email
    • Tel: +31622392446
SCHOLARLY PAPERS

8

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29,153

CITATIONS
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3

Scholarly Papers (8)

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1.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Wouter J. Keller, Adam Butler and Ilya Kipnis
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 6,369 (932)

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Markowitz, MPT, MVO, Mean Variance, Momentum, Tactical Asset Allocation, CLA, CAA, EW, 1/N, Smart Beta

2.

Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach

Number of pages: 19 Posted: 25 Dec 2012 Last Revised: 16 Jan 2015
Wouter J. Keller and Hugo van Putten
VU University Amsterdam and Flex Capital BV
Downloads 6,205 (975)
Citation 2

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Tactical Asset Allocation, momentum, trendfollowing

3.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Wouter J. Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 4,278 (1,842)

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Absolute return, protective momentum, dual absolute and relative momentum, 60/40, SMA, FAA, TAA

4.

A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)

Number of pages: 32 Posted: 31 Dec 2014 Last Revised: 21 Jan 2015
Wouter J. Keller and Adam Butler
VU University Amsterdam and ReSolve Asset Management
Downloads 4,208 (1,886)

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Tactical Asset Allocation, Momentum, Elasticities, Markowitz, MPT, minimum variance, maximum diversification, Sharpe, EW, smart beta

5.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Wouter J. Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 3,618 (2,481)

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Breadth Momentum, Drawdown, Protective Momentum, Dual Momentum, Absolute and Relative Momentum, Crash Protection, Backtesting, Datasnooping, 60/40, VAA, PAA, TAA

6.

Momentum, Markowitz, and Smart Beta: A Tactical, Analytical and Practical Look at Modern Portfolio Theory

Number of pages: 21 Posted: 14 Jun 2014 Last Revised: 02 Jan 2015
Wouter J. Keller
VU University Amsterdam
Downloads 1,622 (9,654)

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Tactical Asset Allocation, Momentum, Markowitz, Elton, MPT, mean variance, minimum variance, Sharpe, EW, SIM, smart beta

7.

Tactical MPT and Momentum: The Modern Asset Allocation (MAA)

Number of pages: 47 Posted: 31 Dec 2013
Wouter J. Keller and Hugo van Putten
VU University Amsterdam and Flex Capital BV
Downloads 1,474 (11,280)
Citation 1

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Tactical Asset Allocation, Momentum, Markowitz, Elton, MPT, mean variance, minimum variance, Sharpe, EW, SIM

8.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 02 Jan 2019
Wouter J. Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 1,379 (12,595)

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Breadth Momentum, Drawdown, Vigilant Momentum, Dual Momentum, Absolute and Relative Momentum, Crash Protection, Backtesting, Datasnooping, DAA, VAA, PAA, TAA