Arco van Oord

De Nederlandsche Bank

PO Box 98

1000 AB Amsterdam

Amsterdam, 1000 AB

Netherlands

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 32,068

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Top 32,068

in Total Papers Downloads

1,541

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Optimization of Equity Momentum: (How) Does it Work?

Number of pages: 32 Posted: 02 Sep 2015
Arco van Oord
De Nederlandsche Bank
Downloads 539 (54,564)

Abstract:

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Momentum, Mean-variance optimization, Time-varying risk, Sharpe-ratio, Bootstrap

2.

Hedging the Time-Varying Risk Exposures of Momentum Returns

Number of pages: 26 Posted: 06 Mar 2008 Last Revised: 12 Oct 2012
Martin Martens and Arco van Oord
Erasmus University Rotterdam (EUR) and De Nederlandsche Bank
Downloads 416 (75,143)
Citation 1

Abstract:

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Momentum, hedging, conditional factor model

3.

Robust Optimization of the Equity Momentum Strategy

Tinbergen Institute Discussion Paper No. 09-011/4
Number of pages: 17 Posted: 14 Feb 2009
Arco van Oord, Martin Martens and H. K. van Dijk
De Nederlandsche Bank, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 385 (82,125)

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quadratic optimization, momentum strategy, robust optimization

4.

Scale Economies in Pension Fund Investments: A Dissection of Investment Costs Across Asset Classes

De Nederlandsche Bank Working Paper No. 474
Number of pages: 54 Posted: 05 Jun 2015
Dirk Broeders, Arco van Oord and David R. Rijsbergen
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 124 (243,838)
Citation 2

Abstract:

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pension funds, asset management, management costs, performance fees

5.

Does it Pay to Pay Performance Fees? Empirical Evidence from Dutch Pension Funds

De Nederlandsche Bank Working Paper No. 561
Number of pages: 49 Posted: 19 Jul 2017
Dirk Broeders, Arco van Oord and David R. Rijsbergen
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 77 (334,157)

Abstract:

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pension funds, asset management, performance fees, investment costs