Milan Vidojevic

Robeco Quantitative Investments

Quantitative Researcher

1111 Brickell Avenue, Robeco, Suite 2125

Miami, FL 33131

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 5,142

SSRN RANKINGS

Top 5,142

in Total Papers Downloads

11,480

SSRN CITATIONS
Rank 40,517

SSRN RANKINGS

Top 40,517

in Total Papers Citations

10

CROSSREF CITATIONS

8

Scholarly Papers (6)

1.

Five Concerns with the Five-Factor Model

Number of pages: 17 Posted: 05 Nov 2016 Last Revised: 23 Feb 2017
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 3,894 (3,718)
Citation 5

Abstract:

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asset pricing, 5-factor model, 3-factor model, CAPM, low-beta, momentum

2.

The Idiosyncratic Momentum Anomaly

Number of pages: 60 Posted: 05 Apr 2017 Last Revised: 08 Apr 2020
David Blitz, Matthias X. Hanauer and Milan Vidojevic
Robeco Quantitative Investments, Technische Universität München (TUM) and Robeco Quantitative Investments
Downloads 3,406 (4,679)
Citation 14

Abstract:

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

3.

The Characteristics of Factor Investing

Number of pages: 27 Posted: 27 Jul 2018 Last Revised: 27 Oct 2018
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,754 (13,768)
Citation 5

Abstract:

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factor investing, smart beta, factor premiums, size, value, momentum, quality, low-volatility

4.

The Performance of Exchange-Traded Funds

Number of pages: 21 Posted: 06 Oct 2019
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,177 (25,131)

Abstract:

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mutual fund performance, exchange-traded funds, ETFs, smart beta, factor investing, factor premiums, active versus passive, market efficiency

5.

The Profitability of Low Volatility

Number of pages: 22 Posted: 19 Jul 2016 Last Revised: 24 Jul 2017
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,061 (29,185)
Citation 4

Abstract:

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low volatility, low beta, profitability, betting against beta, 5-factor model

6.

Behavioral Heterogeneity in Return Expectations across Equity Style Portfolios

Revised version forthcoming in International Review of Finance
Number of pages: 35 Posted: 16 Oct 2018 Last Revised: 11 Jun 2020
Philip A. Stork, Milan Vidojevic and Remco C. J. Zwinkels
Vrije Universiteit Amsterdam, School of Business and Economics, Robeco Quantitative Investments and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 188 (221,152)

Abstract:

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behavioral finance, heterogeneous agent models, style investing, asset pricing