Sanne De Boer

Voya Investment Management

Director of Quantitative Equity Research

230 Park Avenue

13th Floor

New York, NY 10069

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 22,591

in Total Papers Downloads

2,861

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (18)

1.

Tactical Timing of Low Volatility Equity Strategies

Number of pages: 13 Posted: 07 Sep 2014
Sanne De Boer and James H. Norman
Voya Investment Management and Goldman Sachs Asset Management
Downloads 643 (52,835)

Abstract:

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minimum volatility investing, global equities, asset allocation

2.
Downloads 567 ( 61,922)

Nonlinear Factor Attribution

Number of pages: 20 Posted: 04 Aug 2018 Last Revised: 16 Jan 2019
Sanne De Boer
Voya Investment Management
Downloads 460 (79,431)

Abstract:

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Factor Investing, Performance Attribution, Nonlinear Factor Model

Nonlinear Factor Attribution

Journal of Investment Consulting, Vol. 20, No. 1, 2020, pp. 21-29
Number of pages: 11 Posted: 13 Jan 2021
Sanne De Boer
Voya Investment Management
Downloads 107 (320,596)

Abstract:

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Factor Attribution, Factor Tilts

3.

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
Voya Investment Management and PGIM-IAS
Downloads 464 (79,311)

Abstract:

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

4.

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
Voya Investment Management, Invesco and Invesco
Downloads 415 (90,443)

Abstract:

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factor investing, performance attribution

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 Voya Investment Management
Downloads 220 (177,782)

Abstract:

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

6.

Airline Revenue Management Under Imperfect Market Segmentation

Number of pages: 26 Posted: 30 Jan 2008
Sanne De Boer
Voya Investment Management
Downloads 220 (176,982)

Abstract:

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

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
Voya Investment Management
Downloads 143 (257,440)

Abstract:

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

8.

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
Voya Investment Management
Downloads 96 (342,152)

Abstract:

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

9.

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
Voya Investment Management and Goldman Sachs Asset Management
Downloads 74 (400,067)

Abstract:

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

10.

The Bivariate Stochastic Functional Form

Number of pages: 25 Posted: 25 Sep 2011
Sanne De Boer and Aart F. de Vos
Voya Investment Management and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 19 (656,257)

Abstract:

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bivariate smoothing splines, Kalman filter, nonparametric regression

11.

Intangible ironies: investor mispricing of company assets on and off its balance sheet

Posted: 23 Feb 2021
Sanne De Boer
Voya Investment Management

Abstract:

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intangible assets, value investing, factor investing, asset pricing, stakeholder capital

12.

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
Voya Investment Management, Franlkin Advisers, Inc. and Franlkin Advisers, Inc.

Abstract:

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

13.

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
Voya Investment Management

Abstract:

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

14.

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
Voya Investment Management, 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

15.

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 Voya Investment Management

Abstract:

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

16.

Factor Attribution that Adds Up

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

Abstract:

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quantitative investing, factor attribution, shrinkage estimators

17.

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
Voya Investment Management and Goldman Sachs Asset Management

Abstract:

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

18.

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
Voya Investment Management, Franlkin Advisers, Inc. and Goldman Sachs Asset Management

Abstract:

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