Carsten Rother

Invesco

An der Welle 5

Frankfurt am Main, 60322

Germany

University of Hamburg

Allende-Platz 1

Hamburg, 20146

Germany

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 24,939

SSRN RANKINGS

Top 24,939

in Total Papers Downloads

1,949

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Optimal Timing and Tilting of Equity Factors

Financial Analysts Journal, 2019, Vol. 75(4), pp. 84-102
Number of pages: 31 Posted: 15 Dec 2018 Last Revised: 23 Oct 2019
dichtl research & consulting GmbH, University of Hamburg, Invesco, Invesco and Allianz Global Investors
Downloads 770 (32,444)
Citation 2

Abstract:

Loading...

asset allocation, factor investing, factor timing, factor tilting, parametric portfolio policy

2.

Tailoring Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 1st issue, pp. 18-23
Number of pages: 8 Posted: 12 Jun 2018
Joo Hee Lee, Harald Lohre, Jay H Raol and Carsten Rother
Invesco, Invesco, Invesco and Invesco
Downloads 290 (108,023)

Abstract:

Loading...

Style Factors, Factor Investing, Factor Completion, Maximum Diversification, Risk Parity

3.

Tail Risk Management for Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 4th issue, pp. 14-20
Number of pages: 9 Posted: 20 Feb 2019
David Chambers, Harald Lohre and Carsten Rother
University of Cambridge - Judge Business School, Invesco and Invesco
Downloads 255 (123,725)

Abstract:

Loading...

Factor Investing, Tail Risk Management, Maximum Diversification, Risk Parity

4.

Active Factor Completion Strategies

Number of pages: 39 Posted: 16 Apr 2019 Last Revised: 18 Sep 2019
dichtl research & consulting GmbH, University of Hamburg, Invesco and Invesco
Downloads 239 (132,072)
Citation 1

Abstract:

Loading...

Diversification, Risk Parity, Factor Completion, Multi-Asset Multi-Factor Investing

5.

Performance Attribution Through a Factor Lens

Invesco Risk & Reward, #2/2018, pp. 32-38.
Number of pages: 8 Posted: 31 Jul 2018
Sanne De Boer, Julian Keuerleber and Carsten Rother
Invesco, Invesco and Invesco
Downloads 155 (196,230)

Abstract:

Loading...

factor investing, performance attribution

6.

A Factor-Based Approach to Diversifying Oil Exposure

Risk & Reward, 2019, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 11 Jul 2019
Invesco, Invesco, Invesco and Invesco Investment Solutions
Downloads 86 (300,989)

Abstract:

Loading...

Style Factors, Factor Investing, Factor Completion, Maximum Diversification, Risk Parity

7.

Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations

Machine Learning and Asset Management, Forthcoming
Number of pages: 33 Posted: 08 Jan 2020
Harald Lohre, Carsten Rother and Kilian Axel Schäfer
Invesco, Invesco and Metzler Asset Management
Downloads 154

Abstract:

Loading...

Multi-asset Multi-factor Investing, Diversification, Hierarchical Risk Parity, Tail Dependence