Milan Vidojevic

Robeco Quantitative Investments

Quantitative Researcher

1111 Brickell Avenue, Robeco, Suite 2125

Miami, FL 33131

United States

  • Robeco Quantitative Investments

SCHOLARLY PAPERS

6

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SSRN CITATIONS
Rank 33,087

SSRN RANKINGS

Top 33,087

in Total Papers Citations

22

CROSSREF CITATIONS

7

Scholarly Papers (6)

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1.

Five Concerns with the Five-Factor Model

Number of pages: 17 Posted: 05 Nov 2016 Last Revised: 23 Feb 2017
David Blitz, Matthias X. Hanauer, Milan Vidojevic and Pim van Vliet
Robeco Quantitative Investments, Technische Universität München (TUM), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 4,390 (3,958)
Citation 8

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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 3,816 (5,010)
Citation 22

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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 2,043 (13,675)
Citation 7

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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 1,281 (27,930)

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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 1,149 (32,684)
Citation 4

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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 Vrije Universiteit Amsterdam
Downloads 224 (234,338)

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