Author Page for Winfried G. Hallerbach

1.

An Improved Estimator for Black-Scholes-Merton Implied Volatility

ERIM Report Series No. ERS-2004-054-F&A

Number of pages: 21 Posted: 23 Jul 2004

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

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Citation 2

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2.

A Proof of the Optimality of Volatility Weighting Over Time

Number of pages: 23 Posted: 20 Feb 2012 Last Revised: 15 Aug 2014

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Downloads 1,581 (6,209)

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3.

Advances in Portfolio Risk Control: Risk! Parity?

Number of pages: 19 Posted: 03 May 2013 Last Revised: 07 Apr 2015

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

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Citation 1

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4.

Uncovering Trend Rules

Number of pages: 17 Posted: 12 May 2015

Paul Beekhuizen and Winfried G. Hallerbach

Robeco Asset Management and Robeco Asset Management, Quantitative Investment Research

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5.

A Framework for Managing a Portfolio of Socially Responsible Investments

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Citation 2

2

A Framework for Managing a Portfolio of Socially Responsible Investments

ERIM Report Series Reference No. ERS-2002-54-F&A

Number of pages: 24 Posted: 18 Feb 2003

Winfried G. Hallerbach, Haikun Ning, Aloy B.M. Soppe and J. Spronk

Robeco Asset Management, Quantitative Investment Research, Erasmus Research Institute of Management (ERIM), Erasmus School of Law and Erasmus Research Institute of Management (ERIM)

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Citation 2

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A Framework for Managing a Portfolio of Socially Responsible Investments

European Journal of Operational Research, Vol. 153, pp. 517-529, 2004

Posted: 09 Jan 2004

J. Spronk, Winfried G. Hallerbach, Haikun Ning and Aloy B.M. Soppe

Erasmus Research Institute of Management (ERIM), Robeco Asset Management, Quantitative Investment Research, Erasmus Research Institute of Management (ERIM) and Erasmus School of Law

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6.

Enhancing Risk Parity by Including Views

Journal of Investing, 2017

Number of pages: 34 Posted: 12 Aug 2014 Last Revised: 20 Sep 2016

Daniel Haesen, Winfried G. Hallerbach, Thijs D. Markwat and Roderick Molenaar

Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management

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7.

Volatility Weighting Applied to Momentum Strategies

Journal of Alternative Investments, Forthcoming

Number of pages: 37 Posted: 29 Apr 2015 Last Revised: 29 Jul 2016

Johannes Paulus Du Plessis and Winfried G. Hallerbach

Independent and Robeco Asset Management, Quantitative Investment Research

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8.

A Relative View on Tracking Error

ERIM Report Series Reference No. ERS-2005-063-F&A

Number of pages: 33 Posted: 26 Aug 2006

Winfried G. Hallerbach and I. Pouchkarev

Robeco Asset Management, Quantitative Investment Research and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Downloads 675 (33,816)

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9.

The Relevance of Mcdm for Financial Decisions

ERIM Report Series Reference No. ERS-2002-69-F&A

Number of pages: 22 Posted: 17 Feb 2003

Winfried G. Hallerbach and J. Spronk

Robeco Asset Management, Quantitative Investment Research and Erasmus Research Institute of Management (ERIM)

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Citation 4

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10.

Disentangling Rebalancing Return

The Journal of Asset Management 2014, Vol. 15, 5, pp.301–316,

Number of pages: 31 Posted: 05 Feb 2014 Last Revised: 10 Dec 2016

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

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11.

The Effects of Decision Flexibility in the Hierarchical Investment Decision Process

ERIM Report Series Reference No. ERS-2003-047-F&A

Number of pages: 27 Posted: 26 Aug 2006

Winfried G. Hallerbach, Haikun Ning and J. Spronk

Robeco Asset Management, Quantitative Investment Research, Erasmus Research Institute of Management (ERIM) and Erasmus Research Institute of Management (ERIM)

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12.

A Multidimensional Framework for Financial-Economic Decisions

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Citation 2

2

A Multidimensional Framework for Financial-Economic Decisions

ERIM Report Series Reference No. ERS-2003-021-F&A

Number of pages: 23 Posted: 13 Feb 2006

Winfried G. Hallerbach and J. Spronk

Robeco Asset Management, Quantitative Investment Research and Erasmus Research Institute of Management (ERIM)

Downloads 463 (54,467)

Citation 2

Abstract:

A Multidimensional Framework for Financial-Economic Decisions

Journal of Multi-Criteria Decision Analysis, Vol. 11, pp. 111-124, 2002

Posted: 25 Feb 2004

Winfried G. Hallerbach and J. Spronk

Robeco Asset Management, Quantitative Investment Research and Erasmus Research Institute of Management (ERIM)

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13.

Holding Period Return-Risk Modeling: Ambiguity in Estimation

ERIM Report Series Reference No. ERS-2003-063-F&A

Number of pages: 22 Posted: 15 Oct 2003

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Downloads 453 (56,583)

Citation 2

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14.

Holding Period Return-Risk Modeling: The Importance of Dividends

ERIM Report Series Reference No. ERS-2003-064-F&A

Number of pages: 24 Posted: 15 Oct 2003

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Downloads 398 (66,214)

Citation 2

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15.

The Information Ratio as a Performance Metric

Number of pages: 11 Posted: 30 Jun 2009

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Downloads 351 (62,914)

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16.

Duration and Bond Return Approximation: The Quasi-Convexity Effect

Number of pages: 29 Posted: 04 Jul 2009

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

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17.

A Broadband Vision of the Dax Over Time

ERIM Report Series Reference No. ERS-2002-87-F&A

Number of pages: 23 Posted: 20 Jan 2003

Winfried G. Hallerbach, Christoph Hundack, I. Pouchkarev and J. Spronk

Robeco Asset Management, Quantitative Investment Research, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus Research Institute of Management (ERIM)

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Citation 1

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18.

Duration & Dimension

Tinbergen Institute Working Paper No. TI 99-047/2

Number of pages: 10 Posted: 22 Jan 2004

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Downloads 180 (142,339)

Citation 1

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19.

An Alternative Decomposition of the Fisher Index

ERIM Report Series Reference No. ERS-2004-0022-F&A

Number of pages: 17 Posted: 22 Apr 2004

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

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20.

Rational Greeks

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2

Rational Greeks

The IUP Journal of Financial Risk Management, 2016

Number of pages: 24 Posted: 04 Jul 2009 Last Revised: 13 Mar 2017

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Downloads 113 (223,904)

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Rational Greeks

The IUP Journal of Financial Risk Management, Vol. XIII, No. 4, December 2016, pp. 7-27

Posted: 27 Nov 2017

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Abstract:

21.

Hedging: A Bird’s Eye Perspective

Number of pages: 10 Posted: 24 Dec 2009

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Downloads 86 (251,347)

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22.

Active Portfolio Management with Conditional Tracking Error

Number of pages: 18 Posted: 28 Mar 2015

Winfried G. Hallerbach and I. Pouchkarev

Robeco Asset Management, Quantitative Investment Research and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Downloads 38 (182,552)

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23.

Analysing Perceived Downside Risk: The Component Value-at-Risk Framework

European Financial Management, Vol. 10, No. 4, pp. 567-591, December 2004

Number of pages: 25 Posted: 30 Nov 2004

Winfried G. Hallerbach and Albert J. Menkveld

Robeco Asset Management, Quantitative Investment Research and VU Amsterdam

Downloads 30 (425,183)

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24.

Equity Solvency Capital Requirements: What Institutional Regulation Can Learn from Private Investor Regulation

Geneva Papers on Risk and Insurance - Issues and Practice, Forthcoming

Number of pages: 20 Posted: 29 Aug 2017 Last Revised: 16 Apr 2018

David Blitz, Winfried G. Hallerbach, Laurens Swinkels and Pim van Vliet

Robeco Asset Management - Quantitative Strategies, Robeco Asset Management, Quantitative Investment Research, Erasmus University Rotterdam (EUR) and Robeco Asset Management - Quantitative Strategies

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25.

If You Have Said A, You Must Also Say B: Calculating Diversified Asset Returns

Number of pages: 9 Posted: 15 Sep 2016

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

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26.

Ibbotson’s Default Premium: Risky Data

The Journal of Investing, Summer, Vol. 22 No. 2, pp. 95-105

Posted: 29 Jul 2011 Last Revised: 23 Aug 2014

Winfried G. Hallerbach and Patrick Houweling

Robeco Asset Management, Quantitative Investment Research and Robeco Investment Research

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27.

On the Expected Performance of Market Timing Strategies

The Journal of Portfolio Management Summer 2014, Vol. 40, No. 4: pp. 42-51

Posted: 16 Jul 2011 Last Revised: 23 Aug 2014

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Senior Researcher

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Scholarly Papers (27)

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Analysing Perceived Downside Risk: The Component Value-at-Risk Framework

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