Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Senior Researcher

Weena 850

Rotterdam, 3014 DA

Netherlands

http://www.robeco.com/quant

  • Robeco Asset Management, Quantitative Investment Research

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    • Tel: +31102242316
SCHOLARLY PAPERS

29

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SSRN CITATIONS
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11

CROSSREF CITATIONS

35

Scholarly Papers (29)

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1.

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
Downloads 2,560 (5,129)
Citation 4

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technical analysis, trend rules, times series momentum, market timing, moving averages, MACD, information decay

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 2,230 (6,433)
Citation 8

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volatility weighting, volatility targeting, risk control, Sharpe ratio, Information Ratio

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
Downloads 2,111 (7,049)
Citation 4

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risk budgeting, risk control, risk parity, volatility weighting, diversification, portfolio optimization

4.

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
Downloads 1,951 (8,094)
Citation 6

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implied volatility, options, approximation methods

5.

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
Downloads 1,929 (8,244)

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asset allocation, risk parity, portfolio optimization, Bayesian analysis, Black-Litterman

6.

Volatility Weighting Applied to Momentum Strategies

Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/jai.2017.19.3.040
Number of pages: 37 Posted: 29 Apr 2015 Last Revised: 22 May 2019
Johannes Paulus Du Plessis and Winfried G. Hallerbach
Independent and Robeco Asset Management, Quantitative Investment Research
Downloads 1,714 (10,047)
Citation 3

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momentum, trend following, volatility weighting, cross-section dispersion

7.

A Framework for Managing a Portfolio of Socially Responsible Investments

Downloads 1,060 ( 21,057)
Citation 8

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)
Downloads 1,060 (20,682)

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socially responsible investments, portfolio management, social responsibility, SRI

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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Multi-criteria analysis, Portfolio management, Socially responsible investments (SRI), Sustainable development

8.

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
Downloads 967 (24,149)
Citation 4

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rebalancing, buy-and-hold, volatility harvesting

9.

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 685 (39,034)

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Performance Evaluation, Benchmarking, Information Ratio, Tracking Error

10.

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)
Downloads 602 (46,417)

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finance, financial decisions, multiple criteria, decision making, decision analysis

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)
Downloads 504 (58,128)

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multi-level decision process, decision flexibility, tracking error analysis, porfolio management

12.

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
Downloads 486 (60,800)

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approximation, bonds, interest rates, convexity, duration, key rate duration

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 472 (63,088)

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holding period return, equity risk premium, temporal aggregation, stock price seasonality

14.

A Multidimensional Framework for Financial-Economic Decisions

Downloads 471 ( 63,243)
Citation 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 471 (62,588)

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finance, financial decisions, multiple criteria, decision making, decision analysis

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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Financial Decisions, Multicriteria Decision Analysis, Corporate Finance, Investment Decisions, Risk Management

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 454 (66,098)

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information ratio, risk-adjusted performance

16.

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 413 (74,166)

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dividends, holding period return

17.

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 Quantitative Investments, Robeco Asset Management, Quantitative Investment Research, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 257 (125,485)

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Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II

18.

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)
Downloads 247 (130,649)

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investments, financial markets, market indexes, performance evaluation

19.

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
Downloads 211 (152,082)

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diversification, risk budgeting, risk attribution, performance attribution

20.

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 202 (158,486)
Citation 1

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Bond, duration, dimension

21.

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 182 (174,392)

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benchmarking, tracking error, risk budgeting, cross-section dispersion

22.

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
Downloads 128 (233,645)

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Fisher index, linear homogeneity, decomposition

23.

Rational Greeks

Downloads 122 (242,163)

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 122 (243,166)

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approximation methods, Padé rational approximants, risk analysis, derivatives, Greeks

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

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24.

Hedging: A Bird’s Eye Perspective

Number of pages: 10 Posted: 24 Dec 2009
Winfried G. Hallerbach
Robeco Asset Management, Quantitative Investment Research
Downloads 98 (282,499)

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hedging, risk management

25.

On the Realized Performance of Market Timing Strategies

Number of pages: 13 Posted: 02 Jan 2019 Last Revised: 14 Jan 2019
Winfried G. Hallerbach
Robeco Asset Management, Quantitative Investment Research
Downloads 72 (343,206)

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Market Timing, Performance Evaluation, Information Ratio, Appraisal Ratio, Timing IR, Short-Term Market Reversal Strategy

26.

David and Goliath: On the US Investment Grade Credit Risk Premium

Number of pages: 15 Posted: 12 Sep 2018
Winfried G. Hallerbach
Robeco Asset Management, Quantitative Investment Research
Downloads 45 (426,065)

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credit risk premium, term premium, diversification, reverse engineering, inverse portfolio optimization, implied expected returns

27.

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 31 (485,796)
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28.

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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Ibbotson, default premium, corporate bonds, long-term data series

29.

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

Abstract:

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risk-adjusted performance, information ratio, market timing, volatility-weighting