Wouter J. Keller

VU University Amsterdam

Professor Emeritus

De Boelelaan 1105

Amsterdam, NH 1081 HV

Netherlands

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 656

SSRN RANKINGS

Top 656

in Total Papers Downloads

32,314

CITATIONS
Rank 20,075

SSRN RANKINGS

Top 20,075

in Total Papers Citations

23

Scholarly Papers (8)

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 6,626 (904)
Citation 4

Abstract:

Loading...

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 6,367 (962)
Citation 6

Abstract:

Loading...

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 5,337 (1,309)
Citation 3

Abstract:

Loading...

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

4.

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 4,516 (1,754)
Citation 1

Abstract:

Loading...

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

5.

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 4,360 (1,876)
Citation 5

Abstract:

Loading...

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

6.

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 1,919 (7,600)

Abstract:

Loading...

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

7.

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 1,674 (9,537)
Citation 2

Abstract:

Loading...

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

8.

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 1,515 (11,228)
Citation 4

Abstract:

Loading...

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