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Rotterdam, 3011 AG
Netherlands
Robeco Quantitative Investments
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GTAA, Asset Allocation, Tactical Asset Allocation, Momentum, Value, Alpha
GTAA, value effect, momentum, global asset allocation
Factor premium, Multiple hypothesis testing, P-hacking, Return anomalies, Predictability, Stocks, Bonds, Currencies, Commodities, Value, Momentum, Trend, Carry, Betting-against-beta, Seasonality
alpha, strategic asset allocation, volatility, volatility effect, low risk stocks, CAPM, Fama-French factors, international
Quantitative Investing, Factor Investing, Low Volatility, Net Payout, Momentum, Conservative Formula
short-term signals, market frictions, portfolio construction, transaction costs, investments, market efficiency
inflation, deflation, stagflation, equity returns, bond returns, factor premiums
asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return
asset pricing, 5-factor model, 3-factor model, CAPM, low-beta, momentum
asset pricing, factor premiums, factor investing, short selling, limits to arbitrage, low volatility, size, value, momentum, profitability, investment, quality
volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly
low risk, low volatility, low beta, minimum variance, anomaly, factor investing, smart beta, low-volatility investing
empirical asset pricing, return anomalies, factor premia, p-hacking, momentum, value, beta, low-risk, size, reversal, machine learning. JEL classification: G10, G11, N21, N22, quant investing
Calendar effects, Halloween indicator, Holiday effect, January effect, Seasonal patterns, Turn-of-the-month effect, Weekend effect
Strategic asset allocation, gold, defensive equities, low-volatility investing, loss aversion, downside risk
Global Tactical Sector Allocation, Out-of-Sample Predictability, Momentum, Earnings Revisions, Valuation, Fed Policy, Sell In May, Halloween Seasonal
Global tactical sector allocation, out-of-sample predictability, momentum, earnings revisions, valuation, Fed policy, Sell in May, Halloween seasonal
Low-volatility investing, leverage constraints, benchmark constraints, strategic asset allocation, tail risk protection, long-extension, short-extension
equity styles, equity factors, low volatility, value, size, momentum, crises, pandemics
asset pricing, downside risk, semi-variance, lower partial moments, beta
Asset pricing, downside beta, CAPM, downside risk, semi-variance
volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility
Asset pricing, downside risk, conditional tests, CAPM, non-linear kernels, asymmetry, semi-variance, lower partial moments
Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction, Rebalancing
Beta, Correlation, Investing, Low-risk, Shrinkage, Volatility
stock market efficiency, asset pricing, SSD, lower partial moments, downside risk
benchmarking, low-volatility, volatility effect, minimum variance, minimum volatility, alpha
low-volatility investing, meta-study, turnover, risk-reduction, overconfidence
asset pricing, risk aversion, skewness preference, representative investor, three-moment model
Fama-French factors, Carhart factor, SMB, HML, WML, efficiency tests
Alpha, Attention, Big Data, Investing, Media, News, Volatility
Downside risk, conditional downside risk, CAPM, non-linear kernel, asymmetry, semi-variance, lower partial moments
downside risk, semi-variance, interest rates, fixed income, value premium, asset pricing, behavioral finance, bond returns
portfolio management, investments, stock markets, sector index, performance evaluation
Portfolio Management, Investments, Stock Markets, Sector Index, Performance Evaluation
China A shares, low risk, low volatility, low beta, minimum variance, anomaly, value, size, momentum, profitability, investments, smart beta, low-volatility investing
Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II
Cumulative prospect theory, expected utility, mixed gambles, probability weighting, stochastic dominance
