Milan Vidojevic

VU University Amsterdam - Finance

De Boelelaan 1105

Amsterdam

Netherlands

Robeco Asset Management

Quantitative Researcher

Weena 850

Rotterdam, 3014 DA

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 4,804

SSRN RANKINGS

Top 4,804

in Total Papers Downloads

9,671

SSRN CITATIONS
Rank 45,819

SSRN RANKINGS

Top 45,819

in Total Papers Citations

8

CROSSREF CITATIONS

6

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), VU University Amsterdam - Finance and Robeco Quantitative Investments
Downloads 3,156 (4,023)
Citation 4

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 VU University Amsterdam - Finance
Downloads 2,910 (4,661)
Citation 3

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 VU University Amsterdam - Finance
Downloads 1,463 (14,334)
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 VU University Amsterdam - Finance
Downloads 995 (25,609)

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 VU University Amsterdam - Finance
Downloads 969 (26,557)
Citation 3

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, VU University Amsterdam - Finance and Vrije Universiteit Amsterdam
Downloads 178 (193,388)

Abstract:

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