User profiles for Harald Lohre
Harald LohreExecutive Director of Research, Robeco Verified email at robeco.com Cited by 690 |
Diversifying risk parity
H Lohre, H Opfer, G Orszag - Journal of Risk, 2014 - papers.ssrn.com
Striving for maximum diversification we follow Meucci (2009) in measuring and managing a
multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is …
multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is …
Regime shifts and stock return predictability
R Hammerschmid, H Lohre - International Review of Economics & Finance, 2018 - Elsevier
Identifying economic regimes is useful in a world of time-varying risk premia. We apply regime
switching models to common factors proxying for the macroeconomic regime and show …
switching models to common factors proxying for the macroeconomic regime and show …
Hierarchical risk parity: accounting for tail dependencies in multi‐asset multi‐factor allocations
H Lohre, C Rother, KA Schäfer - Machine learning for asset …, 2020 - Wiley Online Library
This chapter examines the use and merits of hierarchical clustering techniques in the context
of multi‐asset multi‐factor investing. In particular, it contrasts these techniques with several …
of multi‐asset multi‐factor investing. In particular, it contrasts these techniques with several …
Maximum diversification strategies along commodity risk factors
S Bernardi, M Leippold, H Lohre - European Financial …, 2018 - Wiley Online Library
Pursuing risk‐based allocation across a universe of commodity assets, we find diversified
risk parity (DRP) strategies to provide convincing results. DRP strives for maximum …
risk parity (DRP) strategies to provide convincing results. DRP strives for maximum …
Diversified risk parity strategies for equity portfolio selection
H Lohre, DU Neugebauer, C Zimmer - Journal of Investing, 2012 - papers.ssrn.com
We investigate a new way of equity portfolio selection that provides maximum diversification
along the uncorrelated risk sources inherent in the S&P 500 constituents. This diversified …
along the uncorrelated risk sources inherent in the S&P 500 constituents. This diversified …
Data snooping and the global accrual anomaly
M Leippold, H Lohre - Applied Financial Economics, 2012 - Taylor & Francis
Naïvely testing for accruals mispricing in 26 equity markets – one market at a time – we find
statistical evidence of anomalous returns in some countries. However, some of these …
statistical evidence of anomalous returns in some countries. However, some of these …
Optimal timing and tilting of equity factors
Aiming to optimally harvest global equity factor premiums, we investigated the benefits of
parametric portfolio policies for timing factors conditioned on time-series predictors and tilting …
parametric portfolio policies for timing factors conditioned on time-series predictors and tilting …
The promises and pitfalls of machine learning for predicting stock returns
E Leung, H Lohre, D Mischlich… - The Journal of …, 2021 - jfds.pm-research.com
Recent research suggests that machine learning models dominate traditional linear models
in predicting cross-sectional stock returns. The authors confirm this finding when predicting …
in predicting cross-sectional stock returns. The authors confirm this finding when predicting …
Why do equally weighted portfolios beat value-weighted ones?
…, S Nolte, M Shackleton, H Lohre - The Journal of Portfolio …, 2023 - jpm.pm-research.com
Equal-weighted (EW) portfolios have outperformed their value-weighted (VW) counterparts
over multiple decades in various investment universes. This article investigates the long-term …
over multiple decades in various investment universes. This article investigates the long-term …
Estimating portfolio risk for tail risk protection strategies
D Happersberger, H Lohre… - European Financial …, 2020 - Wiley Online Library
We forecast portfolio risk for managing dynamic tail risk protection strategies, based on
extreme value theory, expectile regression, copula‐GARCH and dynamic generalized …
extreme value theory, expectile regression, copula‐GARCH and dynamic generalized …