Harald Lohre

Invesco

Senior Research Analyst

An der Welle 5

Frankfurt am Main, 60322

Germany

http://www.de.invesco.com/portal/site/de-de/home/ueber-uns/invesco-quantitative-strategies/

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster University Management School

Visiting Research Fellow

Bailrigg

Lancaster LA1 4YX

United Kingdom

http://www.lancaster.ac.uk/lums/research/research-centres/financial-econometrics/

SCHOLARLY PAPERS

24

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Rank 2,958

SSRN RANKINGS

Top 2,958

in Total Papers Downloads

12,595

SSRN CITATIONS
Rank 16,113

SSRN RANKINGS

Top 16,113

in Total Papers Citations

22

CROSSREF CITATIONS

32

Scholarly Papers (24)

1.
Downloads 2,855 ( 4,155)
Citation 11

Diversifying Risk Parity

Journal of Risk, Vol. 16, No. 5, 2014, pp. 53-79
Number of pages: 29 Posted: 19 Dec 2011 Last Revised: 23 Jul 2014
Harald Lohre, Heiko Opfer and Gabor Orszag
Invesco, Deka Investment GmbH and Deka Investment GmbH
Downloads 2,855 (4,065)
Citation 3

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Risk-based Asset Allocation, Risk Parity, Diversification, Entropy

Diversifying Risk Parity

Journal of Risk, Vol. 16, No. 5, 2014
Number of pages: 28 Posted: 08 Jun 2016
Harald Lohre, Heiko Opfer and Gabor Orszag
Invesco, Deka Investment GmbH and Deka Investment GmbH
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Citation 6
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Diversifying, risk parity

2.

Regime Shifts and Stock Return Predictability

International Review of Economics and Finance, Vol. 56, Issue C, July 2018, pp. 138-160
Number of pages: 50 Posted: 04 Jun 2014 Last Revised: 06 Aug 2019
Regina Hammerschmid and Harald Lohre
University of Zurich and Invesco
Downloads 1,223 (16,558)
Citation 1

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Return Predictability, Regime Switching, Predictive Regressions

3.

Portfolio Construction with Downside Risk

Number of pages: 34 Posted: 25 Mar 2008 Last Revised: 11 Oct 2010
Invesco, Union Investment and DG HYP
Downloads 1,203 (16,996)
Citation 2

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Portfolio Optimization, Downside Risk

4.
Downloads 832 ( 29,170)
Citation 14

Data Snooping and the Global Accrual Anomaly

EFA 2007 Ljubljana Meetings Paper
Number of pages: 43 Posted: 21 Mar 2008 Last Revised: 12 Oct 2010
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 832 (28,707)
Citation 14

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Accrual Anomaly, Market Efficiency, Multiple Hypotheses Testing, Momentum Effect

Data Snooping and the Global Accrual Anomaly

Applied Financial Economics, Vol. 22, No. 7, 2012
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Invesco and University of Zurich - Department of Banking and Finance

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accrual anomaly, market efficiency, multiple hypotheses testing, momentum effect

5.
Downloads 794 ( 31,126)
Citation 4

International Price and Earnings Momentum

Number of pages: 44 Posted: 17 Mar 2008 Last Revised: 17 Sep 2012
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 794 (30,633)
Citation 4

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Earnings Momentum, Price Momentum, Market Efficiency, Multiple Hypotheses Testing, Information Uncertainty, Liquidity

International Price and Earnings Momentum

European Journal of Finance, Vol. 18, No. 5-6, 2012, pp. 535-573
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Invesco and University of Zurich - Department of Banking and Finance

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earnings momentum, price momentum, market efficiency, multiple hypothesis testing, information uncertainty, liquidity

6.

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 (32,499)
Citation 2

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

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 37 Posted: 08 Jul 2013 Last Revised: 12 Mar 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 731 (34,313)
Citation 2

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commodity strategies, risk-based portfolio construction, risk parity, diversification

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 26 Posted: 19 Jan 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 3 (678,714)
Citation 2
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commodity strategies, diversification, risk‐based portfolio construction, risk parity

8.

Investing in a Multi-Asset Multi-Factor World

Risk & Reward, 2017, 3rd issue, pp. 4-11
Number of pages: 10 Posted: 12 Oct 2017
Invesco, Invesco, IQS and Invesco
Downloads 699 (37,095)

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Style factors, factor investing, maximum diversification, risk parity

9.

The Use of Correlation Networks in Parametric Portfolio Policies

Number of pages: 24 Posted: 06 Oct 2014
Harald Lohre, Jochen Papenbrock and Muddit Poonia
Invesco, Firamis and Indian Institute of Technology Kharagpur
Downloads 628 (42,861)
Citation 1

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Correlation Networks, Parametric Portfolio Policies, Market Timing, Sector Allocation

10.

The Dispersion Effect in International Stock Returns

Journal of Empirical Finance, Vol. 29, December 2014, pp. 331–342
Number of pages: 25 Posted: 01 Jun 2008 Last Revised: 28 Aug 2015
Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance and Invesco
Downloads 360 (84,962)
Citation 2

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International Dispersion Effect, Information Uncertainty, Liquidity

11.

Currency Management with Style

Risk & Reward, 2018, 1st issue, pp. 30-35
Number of pages: 8 Posted: 22 May 2018
Harald Lohre and Martin Kolrep
Invesco and Invesco
Downloads 301 (103,664)

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Currency hedging, currency style factors, carry, value, momentum, tail-hedging

12.

Tailoring Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 1st issue, pp. 18-23
Number of pages: 8 Posted: 12 Jun 2018
Invesco, Invesco, Invesco and Invesco
Downloads 290 (107,986)

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

13.

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 (123,702)

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

14.

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 (132,039)
Citation 1

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

15.

Theory and Practice of Portfolio Insurance

Risk & Reward, 2017, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 07 Jul 2017
Invesco, Invesco and Lancaster University - Department of Accounting and Finance
Downloads 221 (142,516)

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Portfolio insurance, risk forecasting, CPPI, DPPI, Stop loss, Synthetic Put

Second-Order Risk of Alternative Risk Parity Strategies

Number of pages: 30 Posted: 26 Dec 2017 Last Revised: 08 Feb 2019
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 213 (147,298)

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Estimation Risk, Second-Order Risk, Portfolio Construction, Risk Parity, Diversification

17.

Risk-Based Currency Management

Risk & Reward, 2017, 1st issue, pp. 20-24
Number of pages: 7 Posted: 07 Apr 2017
Martin Kolrep and Harald Lohre
Invesco and Invesco
Downloads 206 (152,362)

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FX, Hedging, Minimum-Variance

18.

Estimating Portfolio Risk for Tail Risk Protection Strategies

European Financial Management, Forthcoming
Number of pages: 47 Posted: 05 Jun 2017 Last Revised: 18 Dec 2019
David Happersberger, Harald Lohre and Ingmar Nolte
Lancaster University - Department of Accounting and Finance, Invesco and Lancaster University - Department of Accounting and Finance
Downloads 197 (158,870)
Citation 1

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Tail Risk Protection, CPPI, DPPI, Risk Modelling, Value-at-Risk, Expected Shortfall, Forecast Combination, Return Synchronization

19.

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
Invesco, Invesco and Metzler Asset Management
Downloads 153 (201,545)

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

20.

Integrating Time Series and Cross-Sectional Signals for Optimal Commodity Portfolios

Number of pages: 44 Posted: 01 Jan 2020
Regina Hammerschmid and Harald Lohre
University of Zurich and Invesco
Downloads 130 (230,299)

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optimal commodity strategies, parametric portfolio policies, timing and tilting

21.

The Use of Equity Factor Investing for Portfolio Insurance

Risk & Reward, 2018, 3rd issue, pp. 32-38
Number of pages: 9 Posted: 26 Nov 2018
Invesco, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 125 (233,075)

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Factor Investing, Portfolio Insurance, CPPI, DPPI

22.

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 (300,922)

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

23.

Evaluating Risk Mitigation Strategies

Risk & Reward, 2018, 2nd issue, pp. 27-31
Number of pages: 6 Posted: 30 Aug 2018
Invesco, Lancaster University - Department of Accounting and Finance and Invesco
Downloads 81 (312,167)

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Portfolio Insurance, CPPI, DPPI

24.

Diversified Risk Parity Strategies for Equity Portfolio Selection

Journal of Investing, Vol. 21, No. 3, 2012
Posted: 01 May 2012 Last Revised: 17 Sep 2012
Invesco, Deka Investment GmbH and Deka Investment GmbH

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risk-based portfolio construction, risk parity, diversification, entropy