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Wouter Keller

VU University Amsterdam

Professor Emeritus

De Boelelaan 1105

Amsterdam, NH 1081 HV

Netherlands

  • VU University Amsterdam

    • Email
    • Tel: +31622392446
SCHOLARLY PAPERS

7

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24,187

CITATIONS
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Top 44,862

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3

Scholarly Papers (7)

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1.

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

Number of pages: 19 Posted: 25 Dec 2012 Last Revised: 16 Jan 2015
Wouter Keller and Hugo van Putten
VU University Amsterdam and Flex Capital BV
Downloads 4,346 (941)
Citation 2

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Tactical Asset Allocation, momentum, trendfollowing

2.

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 Keller and Adam Butler
VU University Amsterdam and ReSolve Asset Management
Downloads 1,795 (1,979)

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

3.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Wouter Keller, Adam Butler and Ilya Kipnis
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 1,727 (1,018)

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

4.

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

Number of pages: 47 Posted: 31 Dec 2013
Wouter Keller and Hugo van Putten
VU University Amsterdam and Flex Capital BV
Downloads 914 (11,173)
Citation 1

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

5.

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 Keller
VU University Amsterdam
Downloads 843 (9,788)

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

6.

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

Number of pages: 37 Posted: 19 Jul 2017
Wouter Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 0 (5,180)

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

7.

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 Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 0 (2,471)

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