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

16

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9,384

CITATIONS
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SSRN RANKINGS

Top 17,300

in Total Papers Citations

19

Scholarly Papers (16)

1.
Downloads 2,599 ( 4,048)
Citation 5

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 2,599 (3,959)
Citation 5

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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 5
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Diversifying, risk parity

2.

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 1,029 (15,495)
Citation 1

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Portfolio Optimization, Downside Risk

3.
Downloads 812 ( 26,120)
Citation 8

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 812 (25,704)
Citation 8

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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

4.
Downloads 771 ( 28,041)
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 771 (27,608)
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

5.

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 712 (17,042)

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Return Predictability, Regime Switching, Predictive Regressions

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 638 (35,781)

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

7.

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 313 (40,515)

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

8.

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 306 (77,569)
Citation 1

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International Dispersion Effect, Information Uncertainty, Liquidity

9.

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 0 (226,234)

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

10.

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 0 (170,141)

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

11.

Second-Order Risk of Alternative Risk Parity Strategies

Number of pages: 32 Posted: 26 Dec 2017
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 0 (219,032)

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

12.

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 0 (42,647)

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Style factors, factor investing, maximum diversification, risk parity

13.

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 0 (162,149)

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

14.

Estimating Portfolio Risk for Tail Risk Protection Strategies

Number of pages: 39 Posted: 05 Jun 2017 Last Revised: 27 Mar 2018
David Happersberger, Harald Lohre and Ingmar Nolte
Lancaster University - Department of Accounting and Finance, Invesco and Lancaster University - Department of Accounting and Finance
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Tail Risk Protection, CPPI, DPPI, Risk Modelling, Value at Risk, Expected Shortfall, Return Synchronization

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 0 (151,803)

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FX, Hedging, Minimum-Variance

16.

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