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

22

DOWNLOADS
Rank 3,169

SSRN RANKINGS

Top 3,169

in Total Papers Downloads

11,483

CITATIONS
Rank 12,516

SSRN RANKINGS

Top 12,516

in Total Papers Citations

42

Scholarly Papers (22)

1.
Downloads 2,782 ( 4,069)
Citation 9

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 2,782 (3,982)
Citation 5

Abstract:

Loading...

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
Downloads 0
Citation 4
  • Add to Cart

Abstract:

Loading...

Diversifying, risk parity

2.

Regime Shifts and Stock Return Predictability

International Review of Economics and Finance, Forthcoming
Number of pages: 50 Posted: 04 Jun 2014 Last Revised: 17 Nov 2017
Regina Hammerschmid and Harald Lohre
University of Zurich and Invesco
Downloads 1,195 (16,321)
Citation 5

Abstract:

Loading...

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 1,193 (16,357)
Citation 2

Abstract:

Loading...

Portfolio Optimization, Downside Risk

4.
Downloads 825 ( 28,145)
Citation 19

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 825 (27,701)
Citation 19

Abstract:

Loading...

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

Abstract:

Loading...

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

5.
Downloads 787 ( 30,006)
Citation 10

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 787 (29,525)
Citation 10

Abstract:

Loading...

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

Abstract:

Loading...

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

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 711 (34,001)
Citation 1

Abstract:

Loading...

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 2 (660,960)
  • Add to Cart

Abstract:

Loading...

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

7.

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 678 (36,805)

Abstract:

Loading...

Style factors, factor investing, maximum diversification, risk parity

8.

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 616 (41,777)
Citation 1

Abstract:

Loading...

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

9.

Optimal Timing and Tilting of Equity Factors

Number of pages: 40 Posted: 15 Dec 2018 Last Revised: 11 Apr 2019
dichtl research & consulting GmbH, Hamburg University, Invesco, Invesco and Allianz Global Investors
Downloads 392 (73,529)
Citation 3

Abstract:

Loading...

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

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 357 (82,000)
Citation 3

Abstract:

Loading...

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 282 (106,402)

Abstract:

Loading...

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 266 (113,151)

Abstract:

Loading...

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, Department of Finance & Accounting, Invesco and Invesco
Downloads 223 (135,239)

Abstract:

Loading...

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

14.

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 212 (141,940)

Abstract:

Loading...

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

15.

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 198 (151,310)

Abstract:

Loading...

FX, Hedging, Minimum-Variance

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 192 (155,637)

Abstract:

Loading...

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

17.

Active Factor Completion Strategies

Number of pages: 37 Posted: 16 Apr 2019 Last Revised: 25 May 2019
dichtl research & consulting GmbH, Hamburg University, Invesco and Invesco
Downloads 180 (165,090)

Abstract:

Loading...

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

18.

Estimating Portfolio Risk for Tail Risk Protection Strategies

Number of pages: 40 Posted: 05 Jun 2017 Last Revised: 15 Feb 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 163 (180,036)

Abstract:

Loading...

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

19.

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 114 (239,033)

Abstract:

Loading...

Factor Investing, Portfolio Insurance, CPPI, DPPI

20.

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 68 (330,334)

Abstract:

Loading...

Portfolio Insurance, CPPI, DPPI

21.

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 47 (404,206)

Abstract:

Loading...

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

22.

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

Abstract:

Loading...

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