Rotterdam, 3011 AG
Netherlands
Robeco Asset Management - Quantitative Strategies
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GTAA, Asset Allocation, Tactical Asset Allocation, Momentum, Value, Alpha
GTAA, value effect, momentum, global asset allocation
alpha, strategic asset allocation, volatility, volatility effect, low risk stocks, CAPM, Fama-French factors, international
asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return
volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly
Calendar effects, Halloween indicator, Holiday effect, January effect, Seasonal patterns, Turn-of-the-month effect, Weekend effect
Global Tactical Sector Allocation, Out-of-Sample Predictability, Momentum, Earnings Revisions, Valuation, Fed Policy, Sell In May, Halloween Seasonal
Global tactical sector allocation, out-of-sample predictability, momentum, earnings revisions, valuation, Fed policy, Sell in May, Halloween seasonal
asset pricing, downside risk, semi-variance, lower partial moments, beta
Asset pricing, downside beta, CAPM, downside risk, semi-variance
volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility
Asset pricing, downside risk, conditional tests, CAPM, non-linear kernels, asymmetry, semi-variance, lower partial moments
stock market efficiency, asset pricing, SSD, lower partial moments, downside risk
asset pricing, risk aversion, skewness preference, representative investor, three-moment model
Fama-French factors, Carhart factor, SMB, HML, WML, efficiency tests
Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction, Rebalancing
benchmarking, low-volatility, volatility effect, minimum variance, minimum volatility, alpha
portfolio management, investments, stock markets, sector index, performance evaluation
Portfolio Management, Investments, Stock Markets, Sector Index, Performance Evaluation
downside risk, semi-variance, interest rates, fixed income, value premium, asset pricing, behavioral finance, bond returns
Downside risk, conditional downside risk, CAPM, non-linear kernel, asymmetry, semi-variance, lower partial moments
Cumulative prospect theory, expected utility, mixed gambles, probability weighting, stochastic dominance
low-volatility investing, meta-study, turnover, risk-reduction, overconfidence
Quantitative Investing, Factor Investing, Low Volatility, Net Payout, Momentum, Conservative Formula
Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II
asset pricing, 5-factor model, 3-factor model, CAPM, low-beta, momentum