Sanne De Boer

Invesco

Quantitative Research Analyst

1166 Avenue of the Americas

27th Floor

New York, NY 10036

United States

SCHOLARLY PAPERS

17

DOWNLOADS
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2,134

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (17)

1.

Tactical Timing of Low Volatility Equity Strategies

Number of pages: 13 Posted: 07 Sep 2014
Sanne De Boer and James H. Norman
Invesco and Goldman Sachs Asset Management
Downloads 617 (43,335)

Abstract:

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minimum volatility investing, global equities, asset allocation

2.

Factor Attribution and the Impact of Investment Constraints

Number of pages: 38 Posted: 14 Jul 2015 Last Revised: 01 Dec 2015
Sanne De Boer and Vishv Jeet
Invesco and Axioma Inc
Downloads 407 (73,084)

Abstract:

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factor attribution, performance attribution, quantitative equities, restricted least squares, nonlinear factor models

3.

Nonlinear Factor Attribution

Number of pages: 20 Posted: 04 Aug 2018 Last Revised: 16 Jan 2019
Sanne De Boer
Invesco
Downloads 266 (117,226)

Abstract:

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Factor Investing, Performance Attribution, Nonlinear Factor Model

4.

Airline Revenue Management Under Imperfect Market Segmentation

Number of pages: 26 Posted: 30 Jan 2008
Sanne De Boer
Invesco
Downloads 209 (148,894)

Abstract:

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revenue management, market segmentation, sell-up, inventory control, dynamic pricing

5.

Dynamic Pricing and Inventory Control for Multiple Products

Journal of Revenue & Pricing Management 3, 303-319 (January 2005)
Number of pages: 20 Posted: 01 Mar 2014 Last Revised: 03 Mar 2014
Dimitris Bertsimas and Sanne De Boer
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Invesco
Downloads 201 (154,501)

Abstract:

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dynamic pricing, inventory control, multiple products, joint pricing, inventory control

6.

Performance Attribution Through a Factor Lens

Invesco Risk & Reward, #2/2018, pp. 32-38.
Number of pages: 8 Posted: 31 Jul 2018
Sanne De Boer, Julian Keuerleber and Carsten Rother
Invesco, Invesco and Invesco
Downloads 147 (203,139)

Abstract:

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factor investing, performance attribution

7.

The Impact of Dynamic Capacity Management on Airline Seat Inventory Control

Journal of Revenue & Pricing Management 2, 315-330 (January 2004)
Number of pages: 19 Posted: 01 Mar 2014 Last Revised: 03 Mar 2014
Sanne De Boer
Invesco
Downloads 142 (208,919)

Abstract:

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revenue management, dynamic capacity management, fleet assignment, demand driven dispatch, seat inventory control

8.

Country and Sector Drive Minimum-Volatility Investing in Emerging Markets Too

Number of pages: 14 Posted: 25 Jan 2014
Sanne De Boer and James H. Norman
Invesco and Goldman Sachs Asset Management
Downloads 68 (341,783)

Abstract:

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minimum volatility, low volatility, emerging markets, equities, portfolio construction

9.

Factor Tilting for Expected Utility Maximization

Journal of Asset Management 11, 31-42 (April 2010)
Number of pages: 25 Posted: 01 Mar 2014 Last Revised: 03 Mar 2014
Sanne De Boer
Invesco
Downloads 61 (361,585)

Abstract:

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active portfolio management, factor models, arbitrage pricing theory, parametric portfolio policies

10.

The Bivariate Stochastic Functional Form

Number of pages: 25 Posted: 25 Sep 2011
Sanne De Boer and Aart F. de Vos
Invesco and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 16 (557,104)

Abstract:

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bivariate smoothing splines, Kalman filter, nonparametric regression

11.

A Taxonomy of Beta Based on Investment Outcomes

The Journal of Index Investing, Summer, 2016 Forthcoming
Posted: 01 Feb 2016 Last Revised: 05 May 2016
Sanne De Boer, Michael LaBella and Sarah Reifsteck
Invesco, QS Investors and QS Investors

Abstract:

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smart beta, factor investing, style investing, core equities, investment outcomes

12.

Smart Currency Hedging for Smart Beta Global Equities

The Journal of Investing, Winter 2016
Posted: 12 Nov 2014 Last Revised: 22 Oct 2016
Sanne De Boer
Invesco

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smart beta, alternative beta, currency hedging, currency risk, exchange rate risk, FX, global equities, low volatility, minimum volatility

13.

Mathematical Programming for Network Revenue Management Revisited

European Journal of Operational Research, Volume 137, Issue 1, February 2002, Pages 72-92
Posted: 01 Mar 2014
Sanne De Boer, Richard Freling and Nanda Piersma
Invesco, Erasmus Universiteit Rotterdam, ECOPT & ERIM (Deceased) and University of Amsterdam - Academy for Economic Studies

Abstract:

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revenue management, mathematical programming, simulation, airline network

14.

Simulation-Based Booking Limits for Airline Revenue Management

Operations Research, Volume 53, Issue 1, January-February 2005, pp. 90-106
Posted: 01 Mar 2014
Dimitris Bertsimas and Sanne De Boer
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Invesco

Abstract:

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simulation, optimization,inventory control, revenue management, booking limits, airline

15.

Factor Attribution that Adds Up

Journal of Asset Management 13, 373-383 (December 2012)
Posted: 27 Feb 2014
Sanne De Boer
Invesco

Abstract:

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quantitative investing, factor attribution, shrinkage estimators

16.

To Hedge or Not to Hedge: The Slings and Arrows of Currency Risk in Minimum-Volatility Investing

The Journal of Index Investing, Fall 2014, Volume 5 (2), pp. 21-33.
Posted: 07 Oct 2013 Last Revised: 13 Sep 2014
Sanne De Boer and James H. Norman
Invesco and Goldman Sachs Asset Management

Abstract:

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minimum volatility investing, global equities, currency risk, currency hedging

17.

Country and Sector Drive Low-Volatility Investing in Global Equity Markets

The Journal of Index Investing, Spring 2014, Vol. 4, No. 4: pp. 54–67
Posted: 23 Mar 2013 Last Revised: 16 Jan 2019
Sanne De Boer, Janet Campagna and James H. Norman
Invesco, QS Investors and Goldman Sachs Asset Management

Abstract:

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low-volatility effect, minimum-variance portfolio, global equity investing, asset pricing