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/

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 4,621

SSRN RANKINGS

Top 4,621

in Total Papers Downloads

6,904

CITATIONS
Rank 17,395

SSRN RANKINGS

Top 17,395

in Total Papers Citations

19

Scholarly Papers (9)

1.
Downloads 2,193 ( 4,356)
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 2,193 (4,254)
Citation 5

Abstract:

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 5

Abstract:

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 (14,127)
Citation 1

Abstract:

Portfolio Optimization, Downside Risk

3.
Downloads 776 ( 23,293)
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 776 (22,909)
Citation 8

Abstract:

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:

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

4.
Downloads 740 ( 24,945)
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 740 (24,554)
Citation 4

Abstract:

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:

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

5.

Regime Shifts and Stock Return Predictability

Number of pages: 46 Posted: 04 Jun 2014 Last Revised: 28 Aug 2015
Regina Hammerschmid and Harald Lohre
University of Zurich and Invesco
Downloads 712 (18,496)

Abstract:

Return Predictability, Regime Switching, Predictive Regressions

6.

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 (45,739)

Abstract:

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

7.

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 (70,695)
Citation 1

Abstract:

International Dispersion Effect, Information Uncertainty, Liquidity

8.

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, 2017, Forthcoming
Number of pages: 37 Posted: 08 Jul 2013 Last Revised: 07 Jan 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 297 (55,113)

Abstract:

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

9.

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:

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