Raul Leote de Carvalho

BNP Paribas Asset Management

Deputy Head of Quant Research Group

14 rue Bergere

Paris, 75009

France

SCHOLARLY PAPERS

26

DOWNLOADS
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Top 7,522

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11,273

SSRN CITATIONS
Rank 48,151

SSRN RANKINGS

Top 48,151

in Total Papers Citations

10

CROSSREF CITATIONS

8

Scholarly Papers (26)

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 2,105 (14,288)
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 1,595 (21,974)
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 1,342 (28,450)
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
Quantcube Technology, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 1,166 (34,923)
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 796 (59,535)
Citation 1

Abstract:

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

6.

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
BNP Paribas Asset Management, BNP Paribas Asset Management, Quantitative Research Group and BNP Paribas Asset Management
Downloads 792 (59,972)
Citation 1

Abstract:

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

7.

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 635 (79,679)
Citation 1

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8.

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 548 (95,927)

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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

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 486 (111,094)

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

10.

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 417 (133,001)
Citation 1

Abstract:

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11.

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
Quantcube Technology and BNP Paribas Asset Management
Downloads 393 (142,323)

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

12.

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 333 (170,638)
Citation 1

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13.

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 317 (179,798)

Abstract:

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

14.

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 121 (429,384)

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

15.

Allocation to Private Assets in Open-Ended Funds: Capturing the Illiquidity Premium and Managing Liquidity Constraints

Number of pages: 42 Posted: 10 Mar 2023 Last Revised: 04 Dec 2023
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas - BNP Paribas Asset Management, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 94 (513,418)

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Private assets, private equity, private debt, illiquidity premium, open-ended funds, mutual funds, internal rate of return

16.

Aligning Investments with the Paris Agreement: Frameworks for A Net Zero Pathway

Number of pages: 33 Posted: 07 Dec 2023
BNP Paribas Asset Management, BNP Paribas - BNP Paribas Asset Management, BNP Paribas - 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 85 (546,683)

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Net zero, Paris Agreement, climate change, sustainable investing, PAB, decarbonisation, green finance

17.

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 48

Abstract:

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

18.

Equity Factor Investing with Paris Aligned constraints

Forthcoming: The Journal of Impact & ESG Investing
Posted: 08 Dec 2023 Last Revised: 26 Apr 2024
Laurent Lagarde and Raul Leote de Carvalho
affiliation not provided to SSRN and BNP Paribas Asset Management

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Factor investing, Equities, Net Zero, Paris Aligned, Smart Beta.

19.

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

The Journal of Impact and ESG Investing, Winter 2022, 3 (2) 36 - 54 DOI: 10.3905/jesg.2022.1.059
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

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

20.

Mass Customization of Asset Allocation

The Journal of Investing, April 2022, 31 (3) 73 - 97 DOI: 10.3905/joi.2021.1.217
Posted: 16 Sep 2021 Last Revised: 11 Apr 2024
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

21.

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
Quantcube Technology and BNP Paribas Asset Management

Abstract:

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

22.

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

23.

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 - BNP Paribas Asset Management, 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

24.

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

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

25.

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

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Low Risk Anomaly, Fixed Income, CAPM, Minimum Variance

26.

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

Other Papers (1)

Total Downloads: 48
1.

PRIIPs Regulation Unwrapped: Essential Aspects and Practical Implications

Number of pages: 27 Posted: 20 Mar 2023 Last Revised: 05 Dec 2023
Romain Perchet, Nicolas Herambourg and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas and BNP Paribas Asset Management
Downloads 48 (778,288)

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PRIIP, UCITS, Funds, Retail Investor, Performance Scenarios, Risk, KID, SRI, SRRI