Wouter J. Keller

VU University Amsterdam

Professor Emeritus

De Boelelaan 1105

Amsterdam, NH 1081 HV

Netherlands

  • VU University Amsterdam

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    • Tel: +31622392446
SCHOLARLY PAPERS

12

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69,596

SSRN CITATIONS
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Top 30,928

in Total Papers Citations

6

CROSSREF CITATIONS

25

Scholarly Papers (12)

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1.

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 10,951 (799)
Citation 5

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

2.

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 9,865 (959)
Citation 4

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

3.

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 9,425 (1,023)
Citation 6

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

4.

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 8,133 (1,333)
Citation 7

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Tactical Asset Allocation, momentum, trendfollowing

5.

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

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 07 Sep 2021
Wouter J. Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 7,093 (1,680)
Citation 2

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

6.

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 6,016 (2,207)
Citation 5

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

7.

Relative and Absolute Momentum in Times of Rising/Low Yields: Bold Asset Allocation (BAA)

Number of pages: 14 Posted: 25 Jul 2022
Wouter J. Keller
VU University Amsterdam
Downloads 4,380 (3,832)

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Rising Yields, Inflation, Breadth Momentum, Canary Universe, Dual Momentum, Absolute and Relative Momentum, Crash Protection, Backtesting, 60/40, PAA, VAA, DAA

8.

Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA)

Number of pages: 15 Posted: 15 Dec 2019 Last Revised: 22 Jan 2020
Wouter J. Keller
VU University Amsterdam
Downloads 3,844 (4,739)
Citation 1

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Growth-TrendTiming, Unemployment, Permanent Portfolio, Golden Butterfly, 60-40, Trend, Momentum, Drawdown, Crash Protection, Backtesting, Datasnooping, LAA, DAA, VAA, PAA, TAA

9.

Lazy Momentum with Growth-Trend timing: Resilient Asset Allocation (RAA)

Number of pages: 9 Posted: 11 Jan 2021 Last Revised: 10 Mar 2021
Wouter J. Keller
VU University Amsterdam
Downloads 3,096 (6,834)

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Keywords: Growth-TrendTiming, Unemployment, Golden Butterfly Portfolio, All-Weather Portfolio, Canary Assets, Trend, Momentum, Drawdown, Crash Protection, Backtesting, LAA, DAA, VAA, PAA, TAA

10.

Dual and Canary Momentum with Rising Yields/Inflation: Hybrid Asset Allocation (HAA)

Downloads 2,476 ( 9,660)

Dual and Canary Momentum with Rising Yields/Inflation: Hybrid Asset Allocation (HAA)

Number of pages: 15 Posted: 03 Feb 2023 Last Revised: 13 Apr 2023
Wouter J. Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 2,451 (9,634)

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Rising Yields, Inflation, Canary Universe, Dual Momentum, Absolute and Relative Momentum, Crash Protection, Backtesting, 60/40, PAA, VAA, DAA, BAA

Dual and Canary Momentum with Rising Yields/Inflation: Hybrid Asset Allocation (HAA)

Number of pages: 15 Posted: 03 Feb 2023
Wouter J. Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 25 (835,397)

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Rising Yields, Inflation, Canary Universe, Dual Momentum, Absolute and Relative Momentum, Crash Protection, Backtesting, 60/40, PAA, VAA, DAA, BAA

11.

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 2,324 (10,721)
Citation 1

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

12.

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 1,993 (13,703)
Citation 4

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