Winfried G. Hallerbach

Fintelligence CCT

Independent Quant Investment Consultant

Salernes, Var 83690

France

  • Fintelligence CCT

SCHOLARLY PAPERS

29

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SSRN CITATIONS
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Top 19,962

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15

CROSSREF CITATIONS

36

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 Fintelligence CCT
Downloads 3,075 (5,480)
Citation 5

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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
Fintelligence CCT
Downloads 2,443 (7,942)
Citation 3

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

3.

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
Fintelligence CCT
Downloads 2,313 (8,637)
Citation 7

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implied volatility, options, approximation methods

4.

Advances in Portfolio Risk Control: Risk! Parity?

Number of pages: 19 Posted: 03 May 2013 Last Revised: 07 Apr 2015
Winfried G. Hallerbach
Fintelligence CCT
Downloads 2,285 (8,796)
Citation 5

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

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, Fintelligence CCT, Robeco Asset Management and Robeco Asset Management
Downloads 2,110 (10,042)
Citation 1

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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 Fintelligence CCT
Downloads 1,952 (11,472)
Citation 5

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

7.

A Framework for Managing a Portfolio of Socially Responsible Investments

Downloads 1,073 ( 28,338)
Citation 10

A Framework for Managing a Portfolio of Socially Responsible Investments

Number of pages: 24 Posted: 18 Feb 2003
Winfried G. Hallerbach, Haikun Ning, Aloy B.M. Soppe and J. Spronk
Fintelligence CCT, Erasmus Research Institute of Management (ERIM), Erasmus School of Law and Erasmus Research Institute of Management (ERIM)
Downloads 1,073 (27,923)
Citation 2

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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), Fintelligence CCT, 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
Fintelligence CCT
Downloads 1,070 (28,440)
Citation 6

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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
Fintelligence CCT and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 704 (50,744)

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Performance Evaluation, Benchmarking, Information Ratio, Tracking Error

10.

The Relevance of Mcdm for Financial Decisions

Number of pages: 22 Posted: 17 Feb 2003
Winfried G. Hallerbach and J. Spronk
Fintelligence CCT and Erasmus Research Institute of Management (ERIM)
Downloads 611 (60,865)
Citation 1

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

11.

Duration and Bond Return Approximation: The Quasi-Convexity Effect

Number of pages: 29 Posted: 04 Jul 2009
Winfried G. Hallerbach
Fintelligence CCT
Downloads 545 (70,332)

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

12.

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
Fintelligence CCT
Downloads 511 (76,184)

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

13.

The Effects of Decision Flexibility in the Hierarchical Investment Decision Process

Number of pages: 27 Posted: 26 Aug 2006
Winfried G. Hallerbach, Haikun Ning and J. Spronk
Fintelligence CCT, Erasmus Research Institute of Management (ERIM) and Erasmus Research Institute of Management (ERIM)
Downloads 510 (76,365)

Abstract:

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

14.

The Information Ratio as a Performance Metric

Number of pages: 11 Posted: 30 Jun 2009
Winfried G. Hallerbach
Fintelligence CCT
Downloads 508 (76,689)

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information ratio, risk-adjusted performance

15.

A Multidimensional Framework for Financial-Economic Decisions

Downloads 480 ( 82,155)
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
Fintelligence CCT and Erasmus Research Institute of Management (ERIM)
Downloads 480 (81,398)

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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
Fintelligence CCT and Erasmus Research Institute of Management (ERIM)

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

16.

Holding Period Return-Risk Modeling: The Importance of Dividends

Number of pages: 24 Posted: 15 Oct 2003
Winfried G. Hallerbach
Fintelligence CCT
Downloads 474 (83,440)

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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, Fintelligence CCT, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 391 (104,447)

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

18.

A Broadband Vision of the Dax Over Time

Number of pages: 23 Posted: 20 Jan 2003
Winfried G. Hallerbach, Christoph Hundack, I. Pouchkarev and J. Spronk
Fintelligence CCT, 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 249 (168,339)

Abstract:

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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
Fintelligence CCT
Downloads 222 (187,744)

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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
Fintelligence CCT
Downloads 207 (200,508)
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
Fintelligence CCT and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 203 (204,162)

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

22.

An Alternative Decomposition of the Fisher Index

Number of pages: 17 Posted: 22 Apr 2004
Winfried G. Hallerbach
Fintelligence CCT
Downloads 136 (285,571)

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Fisher index, linear homogeneity, decomposition

23.

Rational Greeks

Downloads 132 (292,018)

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
Fintelligence CCT
Downloads 132 (293,181)

Abstract:

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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
Fintelligence CCT

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24.

On the Realized Performance of Market Timing Strategies

Number of pages: 13 Posted: 02 Jan 2019 Last Revised: 14 Jan 2019
Winfried G. Hallerbach
Fintelligence CCT
Downloads 118 (317,236)

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

25.

Hedging: A Bird’s Eye Perspective

Number of pages: 10 Posted: 24 Dec 2009
Winfried G. Hallerbach
Fintelligence CCT
Downloads 114 (325,023)

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hedging, risk management

26.

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

Number of pages: 15 Posted: 12 Sep 2018
Winfried G. Hallerbach
Fintelligence CCT
Downloads 68 (444,884)
Citation 1

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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

Number of pages: 25 Posted: 30 Nov 2004
Winfried G. Hallerbach and Albert J. Menkveld
Fintelligence CCT and Vrije Universiteit Amsterdam
Downloads 31 (610,373)

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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
Fintelligence CCT 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
Fintelligence CCT

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