Raul Leote de Carvalho

BNP Paribas Asset Management

Deputy Head of Quant Research Group

14 rue Bergere

Paris, 75009

France

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 7,155

in Total Papers Downloads

9,301

SSRN CITATIONS
Rank 43,527

SSRN RANKINGS

Top 43,527

in Total Papers Citations

8

CROSSREF CITATIONS

8

Scholarly Papers (23)

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 2,032 (11,616)
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 Asset Management
Downloads 1,483 (18,883)
Citation 4

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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 1,242 (24,592)
Citation 1

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

4.

Equity Factor Investing: Historical Perspective of Recent Performance

Number of pages: 15 Posted: 09 Jan 2021
Benoit Bellone, Thomas Heckel, François Soupé and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 941 (36,667)
Citation 1

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

5.

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 628 (63,151)
Citation 1

Abstract:

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

6.

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 498 (84,017)
Citation 1

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7.

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 460 (92,391)

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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

8.

Allocating to Thematic Investments

This is the Accepted Manuscript of the article "Allocating to Thematic Investments, Koye Somefun, Romain Perchet, Chenyang Yin, Raul Leote de Carvalho", published by Taylor & Francis in the Financial Analysts Journal, doi/abs/10.1080/0015198X.2022.2112895
Number of pages: 21 Posted: 16 Sep 2021 Last Revised: 15 Sep 2022
Koye Somefun, Romain Perchet, Chenyang Yin and Raul Leote de Carvalho
affiliation not provided to SSRN, BNP Paribas Asset Management, Quantitative Research Group and BNP Paribas Asset Management
Downloads 342 (131,484)

Abstract:

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Thematic investing, Themes, Portfolio construction, Portfolio Optimisation, Asset Allocation, Core satellite.

9.

Out-Performing Corporate Bonds Indices With Factor Investing

Bankers Markets & Investors, Special Issue Bond Factors Investing, June 2021, N. 165
Number of pages: 12 Posted: 12 Nov 2020 Last Revised: 14 Sep 2021
Thomas Heckel, Zine Amghar, Isaac Haik, Olivier Laplenie and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 329 (134,957)
Citation 1

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Factor Investing, Smart Beta, Corporate Bonds, Credit, Factor Premiums, High Yield, Investment Grade, Low-Risk, Value, Momentum, Quality

10.

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 300 (148,660)
Citation 1

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11.

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 289 (154,379)

Abstract:

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

12.

The Low Volatility Anomaly in Equity Sectors – 10 Years Later!

Number of pages: 9 Posted: 12 Nov 2020 Last Revised: 18 Nov 2020
Benoit Bellone and Raul Leote de Carvalho
BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 266 (168,074)

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Low Volatility, Low Risk Anomaly, Minimum Variance, Minimum Volatility, Factor Investing, Equities, Smart Beta, Sectors

13.

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 241 (185,159)
Citation 1

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14.

Corporate Carbon Footprint: A Machine Learning Predictive Model for Unreported Data

Number of pages: 19 Posted: 06 Apr 2022
Thibaut Heurtebize, Frederic Chen, François Soupé and Raul Leote de Carvalho
BNP Paribas - BNP Paribas Asset Management, BNP Paribas, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 158 (271,128)

Abstract:

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Climate change, corporate carbon footprints, machine learning, carbon emissions, greenhouse gas emissions, Scope 1, Scope 2

15.

Investor Behavior in Manager Selection: Impact on Performance

Number of pages: 8 Posted: 12 Nov 2020
Raul Leote de Carvalho
BNP Paribas Asset Management
Downloads 71 (462,925)

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active fund management, manager selection, dumb money, smart money, alpha chasing, persistent flow

16.

Towards Second Generation Equity Risk Based Strategies

Number of pages: 32
Raul Leote de Carvalho, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 21

Abstract:

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Low Volatility, Low Risk Anomaly, Minimum Variance, Minimum Volatility, Factor Investing, Equities, Smart Beta, Sectors

17.

Mass Customization of Asset Allocation

Posted: 16 Sep 2021
affiliation not provided to SSRN, BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas Asset Management, Quantitative Research Group and BNP Paribas Asset Management

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Tactical asset allocation, active-risk budgeting, robust portfolio optimization, multi-asset, investment committee, asset allocation, portfolio construction

18.

Value Against Glamour Stocks: The Return of Irrational Exuberance?

Bellone, B., Leote de Carvalho, R. (2021) "Value Against Glamour Stocks: The Return of Irrational Exuberance?", Journal of Investing, Vol. 30, Issue 6 (2021)
Posted: 22 Mar 2021 Last Revised: 14 Sep 2021
Benoit Bellone and Raul Leote de Carvalho
BNP Paribas Asset Management and BNP Paribas Asset Management

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Factor investing, Equities, Value, Value stocks, Growth stocks, Value spread, Smart

19.

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

The Journal of Fixed Income, Vol 29, Issue 3 (2019) pp: 6-21
Posted: 22 Aug 2019 Last Revised: 14 Sep 2021
Thomas Heckel, Zine Amghar, Isaac Haik, Olivier Laplenie and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management and BNP Paribas Asset Management

Abstract:

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

20.

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

Abstract:

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

21.

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

22.

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 Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners

Abstract:

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Low Risk Anomaly, Fixed Income, CAPM, Minimum Variance

23.

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

Abstract:

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