Raul Leote de Carvalho

BNP Paribas Asset Management

Deputy Head of Quant Research Group

14 rue Bergere

Paris, 75009

France

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 8,420

in Total Papers Downloads

5,526

SSRN CITATIONS

1

CROSSREF CITATIONS

7

Scholarly Papers (14)

1.

Inter-Temporal Risk Parity: A Constant Volatility Framework for Equities and Other Asset Classes

Number of pages: 29 Posted: 25 Jan 2014
Romain Perchet, Raul Leote de Carvalho, Thomas Heckel and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners
Downloads 1,610 (10,707)
Citation 4

Abstract:

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risk parity, constant volatility, asset allocation, risk budget, GARCH

2.

Diversify and Purify Factor Premiums in Equity Markets

Number of pages: 24 Posted: 09 Jan 2017
Raul Leote de Carvalho, Lu Xiao, François Soupé and Patrick Dugnolle
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas - BNP Paribas Investment Partners
Downloads 1,198 (16,975)
Citation 1

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Factor Investing, Value, Quality, Momentum, Low Risk, Smart Beta, Equities

3.

Multi-Alpha Equity Portfolios: An Integrated Risk Budgeting Approach for Robust Constrained Portfolios

Forthcoming Journal of Asset Management
Number of pages: 34 Posted: 10 Nov 2012 Last Revised: 29 Jun 2014
Raul Leote de Carvalho, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 1,090 (19,585)

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robust optimization, risk budgeting, alpha, smart-beta, beta premia, portfolio construction, black-litterman, index funds, active management

4.

Factor Investing: Get Your Exposures Right!

Number of pages: 29 Posted: 26 Nov 2018
François Soupé, Lu Xiao and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Asset Management
Downloads 376 (80,119)

Abstract:

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Factor investing, Portfolio Optimization, Robust Optimization, Mean-variance Optimization, Smart Beta, Black-Litterman

5.

Low Risk Anomaly Everywhere - Evidence from Equity Sectors

Number of pages: 25 Posted: 20 Nov 2014
Raul Leote de Carvalho, Majdouline Zakaria, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas - BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 354 (85,947)

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6.

Insights into Robust Portfolio Optimization: Decomposing Robust Portfolios into Mean-Variance and Risk-Based Portfolios

Number of pages: 30 Posted: 09 Sep 2015
Romain Perchet, Lu Xiao, Raul Leote de Carvalho and Thomas Heckel
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 346 (88,286)

Abstract:

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portfolio optimization, portfolio construction, robust optimization, risk-based portfolios, minimum variance, risk parity, equal-risk budget, equally-weighted, mean-variance, Markowitz

7.

Explicit Coupling of Informative Prior and Likelihood Functions in a Bayesian Multivariate Framework and Application to a New Non-Orthogonal Formulation of the Black-Litterman Model

Journal of Asset Management, Forthcoming, OCCAM Financial Technology Working Paper
Number of pages: 36 Posted: 09 Jun 2010
Francois Ogliaro, Robert K. Rice, Stewart Becker and Raul Leote de Carvalho
OCCAM Financial Technology, OCCAM Financial Technology, affiliation not provided to SSRN and BNP Paribas Asset Management
Downloads 264 (118,357)

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Bayesian Inference, Information Filtering, Forecast, Black-Litterman Model, Backtesting

8.

Portfolio Insurance with Adaptive Protection (PIWAP)

Number of pages: 23 Posted: 22 Feb 2015
François Soupé, Thomas Heckel and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 254 (123,266)

Abstract:

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9.

Cross-Sectional Regression Equity Multi-Factor Models: Implementation Pitfalls

Number of pages: 8 Posted: 24 Jun 2019
Raul Leote de Carvalho
BNP Paribas Asset Management
Downloads 34 (459,711)

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10.

Factor Investing in Corporate Bond Markets: Enhancing Efficacy Through Diversification and Purification!

Forthcoming The Journal of Fixed Income
Posted: 22 Aug 2019 Last Revised: 06 Sep 2019
Thomas Heckel, Zine Amghar, Isaac Haik, Olivier Laplenie and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Asset Management

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factor investing, smart beta, corporate bonds, credit, factor premiums, high yield, investment grade, low-risk, value, momentum, quality

11.

Decomposing Funding Ratio Risk: Providing Pension Funds with Key Insights into Their Liabilities Hedge Mismatch and Other Factor Exposures

The Journal of Portfolio Management, Summer 2017, Vol. 43, No. 4
Posted: 21 Apr 2015 Last Revised: 24 May 2017
Erik Kroon, Anton Wouters and Raul Leote de Carvalho
BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Asset Management

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LDI, Defined Benefit, Funding Ratio, Risk Attribution, Factor Model, ALM, Pension Funds

12.

Inter-Temporal Risk Parity: A Constant Volatility Framework for Factor Investing

Journal of Investment Strategies, vol. 4, no. 1, 2014
Posted: 25 May 2014 Last Revised: 03 Feb 2015
Romain Perchet, Raul Leote de Carvalho and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners

Abstract:

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Risk Parity, constant volatility, factor investing, smart beta, value, momentum

13.

Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets

The Journal of Fixed Income, vol. 23, no. 4, Spring 2014.
Posted: 07 Sep 2013 Last Revised: 03 Feb 2015
Raul Leote de Carvalho, Patrick Dugnolle, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas - BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners

Abstract:

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Low Risk Anomaly, Fixed Income, CAPM, Minimum Variance

14.

Demystifying Equity Risk-Based Strategies: A Simple Alpha Plus Beta Description

The Journal of Portfolio Management, vol. 38, no. 3, Spring 2012.
Posted: 25 Oct 2011 Last Revised: 03 Feb 2015
Raul Leote de Carvalho, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners

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low volatility, risk-based, minimum variance, equally-weighted, equal-risk budget, equal-risk contribution, maximum diversification, portfolio construction