David Blitz

Robeco Quantitative Investments

Head Quantitative Research

Weena 850

Rotterdam, 3014 DA

Netherlands

SCHOLARLY PAPERS

47

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Top 126

in Total Papers Downloads

94,064

SSRN CITATIONS
Rank 4,172

SSRN RANKINGS

Top 4,172

in Total Papers Citations

183

CROSSREF CITATIONS

144

Scholarly Papers (47)

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

Journal of Portfolio Management, pp. 23-28, Fall 2008
Number of pages: 31 Posted: 07 Aug 2008 Last Revised: 21 Jun 2013
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 14,590 (283)
Citation 4

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GTAA, Asset Allocation, Tactical Asset Allocation, Momentum, Value, Alpha

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

Journal of Portfolio Management, pp. 23-28, Fall 2008, ERIM Report Series Reference No. ERS-2008-033-F&A
Number of pages: 34 Posted: 08 Oct 2008 Last Revised: 18 Aug 2010
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,132 (22,727)
Citation 10

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GTAA, value effect, momentum, global asset allocation

2.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A
Number of pages: 23 Posted: 17 Apr 2007
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 11,195 (493)
Citation 9

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alpha, strategic asset allocation, volatility, volatility effect, low risk stocks, CAPM, Fama-French factors, international

3.

The Conservative Formula: Quantitative Investing Made Easy

Number of pages: 21 Posted: 21 Mar 2018
Pim van Vliet and David Blitz
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 5,386 (1,767)
Citation 3

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Quantitative Investing, Factor Investing, Low Volatility, Net Payout, Momentum, Conservative Formula

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Number of pages: 25 Posted: 19 Feb 2009 Last Revised: 17 Jul 2009
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 3,943 (3,009)
Citation 2

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asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return

Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes

Journal of Asset Management, Vol. 12, No. 5, pp. 360-375, 2011
Posted: 10 Oct 2011
David Blitz and Pim van Vliet
Robeco Quantitative Investments and Robeco Quantitative Investments

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asset allocation, TAA, economic regimes, business cycle, portfolio choice, time-varying risk, time-varying return

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Number of pages: 26 Posted: 28 May 2013 Last Revised: 11 Jun 2013
Robeco Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments
Downloads 3,542 (3,576)
Citation 15

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly

Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions

Journal of Portfolio Management, Forthcoming
Posted: 21 Nov 2013
Robeco Quantitative Investments, Pine River Capital Management and Robeco Quantitative Investments

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volatility effect, anomaly, CAPM, arbitrage, asset pricing, agency effects, behavioral finance, low-beta anomaly

6.

Five Concerns with the Five-Factor Model

Number of pages: 17 Posted: 05 Nov 2016 Last Revised: 23 Feb 2017
Robeco Quantitative Investments, Technische Universität München (TUM), VU University Amsterdam - Finance and Robeco Quantitative Investments
Downloads 3,481 (3,780)
Citation 5

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asset pricing, 5-factor model, 3-factor model, CAPM, low-beta, momentum

7.

When Equity Factors Drop Their Shorts

Financial Analysts Journal, 2020, 76(4): 73–99.
Number of pages: 42 Posted: 26 Nov 2019 Last Revised: 25 Jan 2021
David Blitz, Guido Baltussen and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 3,156 (4,491)
Citation 7

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asset pricing, factor premiums, factor investing, short selling, limits to arbitrage, low volatility, size, value, momentum, profitability, investment, quality

8.
Downloads 3,124 ( 4,573)

Residual Momentum

Number of pages: 60 Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Robeco Asset Management
Downloads 3,124 (4,485)
Citation 9

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momentum, time-varying risk, stock-specific returns, residual returns

Residual Momentum

Journal of Empirical Finance, Vol. 18, 2011
Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Robeco Asset Management

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momentum, time-varying risk, stock-specific returns, residual returns

9.

The Idiosyncratic Momentum Anomaly

Number of pages: 60 Posted: 05 Apr 2017 Last Revised: 08 Apr 2020
Robeco Quantitative Investments, Technische Universität München (TUM) and VU University Amsterdam - Finance
Downloads 3,071 (4,705)
Citation 13

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asset pricing, idiosyncratic momentum, momentum crashes, risk management

10.
Downloads 2,666 ( 5,976)
Citation 2

Short-Term Residual Reversal

Number of pages: 50 Posted: 18 Aug 2011 Last Revised: 01 Nov 2012
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 2,666 (5,862)
Citation 2

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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

Short-Term Residual Reversal

Journal of Financial Markets, Forthcoming
Posted: 26 Oct 2012
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management

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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

11.

The Volatility Effect Revisited

Number of pages: 27 Posted: 26 Aug 2019
David Blitz, Pim van Vliet and Guido Baltussen
Robeco Quantitative Investments, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 2,319 (7,471)
Citation 16

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low risk, low volatility, low beta, minimum variance, anomaly, factor investing, smart beta, low-volatility investing

12.

Factor Investing: Long-Only versus Long-Short

Number of pages: 19 Posted: 29 Mar 2014
Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,286 (7,663)
Citation 11

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Strategic Allocation to Premiums in the Equity Market

Number of pages: 19 Posted: 25 Oct 2011
David Blitz
Robeco Quantitative Investments
Downloads 2,193 (8,040)
Citation 10

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strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management

Strategic Allocation to Premiums in the Equity Market

Journal of Index Investing, Vol. 2, No. 4, pp. 42-49, 2012
Posted: 14 Mar 2012
David Blitz
Robeco Quantitative Investments

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strategic asset allocation, value, momentum, low-volatility, risk premiums, active management, passive management

The Performance of European Index Funds and Exchange-Traded Funds

ERIM Report Series Reference
Number of pages: 31 Posted: 26 Jul 2009 Last Revised: 18 May 2010
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 2,025 (9,168)
Citation 1

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passive investing, index fund, ETF, dividend taxes, performance evaluation

The Performance of European Index Funds and Exchange‐Traded Funds

European Financial Management, Vol. 18, Issue 4, pp. 649-662, 2012
Number of pages: 14 Posted: 23 Aug 2012
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and affiliation not provided to SSRN
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The Performance of European Index Funds and Exchange-Traded Funds

European Financial Management, Forthcoming
Posted: 14 Feb 2011
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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passive investing, index fund, ETF, dividend taxes, performance evaluation

15.

Factor Investing Revisited

Journal of Index Investing, Forthcoming
Number of pages: 22 Posted: 03 Jul 2015
David Blitz
Robeco Quantitative Investments
Downloads 1,870 (10,628)

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factor investing, smart beta, value, momentum, low volatility

16.

Resurrecting the Value Premium

Number of pages: 27 Posted: 05 Oct 2020 Last Revised: 23 Oct 2020
David Blitz and Matthias X. Hanauer
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 1,773 (11,573)
Citation 2

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Value Premium, Value Investing, Value Factor, HML, Factor Investing, Factor Premia, Smart Beta, Asset Pricing, Market Efficiency, Crowding

17.

Factor Performance 2010-2019: A Lost Decade?

Number of pages: 14 Posted: 20 Apr 2020
David Blitz
Robeco Quantitative Investments
Downloads 1,771 (11,613)
Citation 3

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factor investing, factor premiums, smart beta, value, momentum, quality, low risk, low volatility, asset pricing, market efficiency, Fama-French model

18.
Downloads 1,713 ( 12,226)
Citation 29

The Volatility Effect in Emerging Markets

Number of pages: 31 Posted: 06 May 2012 Last Revised: 18 Dec 2012
David Blitz, Juan Pang and Pim van Vliet
Robeco Quantitative Investments, APG asset Management and Robeco Quantitative Investments
Downloads 1,713 (12,019)
Citation 29

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volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility

The Volatility Effect in Emerging Markets

Emerging Markets Review, Vol. 16, pp. 31-45, 2013
Posted: 14 Apr 2013 Last Revised: 21 Jun 2013
David Blitz, Juan Pang and Pim van Vliet
Robeco Quantitative Investments, APG asset Management and Robeco Quantitative Investments

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volatility effect, asset pricing, emerging markets, CAPM, alpha, low-volatility

19.

Is the Relation between Volatility and Expected Stock Returns Positive, Flat or Negative?

Number of pages: 25 Posted: 08 Jul 2011
Robeco Quantitative Investments, Robeco Quantitative Investments and Robeco Asset Management - Quantitative Strategies
Downloads 1,687 (12,523)
Citation 6

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20.
Downloads 1,636 ( 13,162)
Citation 5

Are Exchange-Traded Funds Harvesting Factor Premiums?

Number of pages: 19 Posted: 07 Feb 2017 Last Revised: 20 Sep 2017
David Blitz
Robeco Quantitative Investments
Downloads 1,343 (17,593)
Citation 5

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factor investing, factor premiums, smart beta, exchange-traded funds, ETFs, value, momentum, low-volatility, overcrowding, factor crowding

Are Exchange-Traded Funds Harvesting Factor Premiums?

Journal of Investment Consulting, Vol. 18, no. 1, 2017
Number of pages: 9 Posted: 02 Feb 2018
David Blitz
Robeco Quantitative Investments
Downloads 293 (127,510)

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factor investing, factor premiums, smart beta, exchange-traded funds, ETFs, value, momentum, low-volatility, overcrowding, factor crowding

21.

The Characteristics of Factor Investing

Number of pages: 27 Posted: 27 Jul 2018 Last Revised: 27 Oct 2018
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and VU University Amsterdam - Finance
Downloads 1,567 (14,069)
Citation 5

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factor investing, smart beta, factor premiums, size, value, momentum, quality, low-volatility

Fundamental Indexation: An Active Value Strategy in Disguise

Number of pages: 7 Posted: 29 Jul 2008 Last Revised: 15 Dec 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,440 (15,786)
Citation 5

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

Fundamental Indexation: An Active Value Strategy in Disguise

Journal of Asset Management, Vol. 9, No. 4, pp. 264-269, November 2007
Posted: 02 Nov 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

23.
Downloads 1,333 ( 18,141)
Citation 7

Strategic Allocation to Commodity Factor Premiums

Number of pages: 26 Posted: 17 May 2013 Last Revised: 27 May 2014
David Blitz and Wilma de Groot
Robeco Quantitative Investments and Robeco Asset Management
Downloads 1,333 (17,820)
Citation 7

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commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

Strategic Allocation to Commodity Factor Premiums

Journal of Alternative Investments, Forthcoming
Posted: 27 May 2014
David Blitz and Wilma de Groot
Robeco Quantitative Investments and Robeco Asset Management

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commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

24.

Factor Investing with Smart Beta Indices

Number of pages: 13 Posted: 29 Apr 2016 Last Revised: 04 Aug 2016
David Blitz
Robeco Quantitative Investments
Downloads 1,329 (18,208)
Citation 1

Abstract:

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factor investing, smart beta

25.

The Performance of Exchange-Traded Funds

Number of pages: 21 Posted: 06 Oct 2019
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and VU University Amsterdam - Finance
Downloads 1,087 (24,540)

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mutual fund performance, exchange-traded funds, ETFs, smart beta, factor investing, factor premiums, active versus passive, market efficiency

26.

Fundamental Indexation: Rebalancing Assumptions and Performance

Journal of Index Investing, Vol. 1, No. 2, pp. 82-88, 2010
Number of pages: 15 Posted: 25 Mar 2010 Last Revised: 30 Sep 2010
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Strategies and Robeco Quantitative Investments
Downloads 1,068 (25,165)
Citation 1

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction, Rebalancing

27.

The Profitability of Low Volatility

Number of pages: 22 Posted: 19 Jul 2016 Last Revised: 24 Jul 2017
David Blitz and Milan Vidojevic
Robeco Quantitative Investments and VU University Amsterdam - Finance
Downloads 1,014 (27,161)
Citation 4

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low volatility, low beta, profitability, betting against beta, 5-factor model

28.

Another Look at the Performance of Actively Managed Equity Mutual Funds

Number of pages: 43 Posted: 14 Feb 2012 Last Revised: 05 Feb 2013
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management
Downloads 1,003 (27,563)

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mutual fund performance, active versus passive, persistence, index funds, momentum

29.

Are Hedge Funds on the Other Side of the Low-Volatility Trade?

Number of pages: 20 Posted: 13 Jan 2017 Last Revised: 27 May 2017
David Blitz
Robeco Quantitative Investments
Downloads 964 (29,161)
Citation 5

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Low-Volatility Anomaly, Low-Beta Anomaly, Betting against Beta, Limits to Arbitrage, Hedge Funds, Factor Investing

30.

The Value of Low Volatility

Journal of Portfolio Management, Forthcoming
Number of pages: 17 Posted: 10 Feb 2016
David Blitz
Robeco Quantitative Investments
Downloads 953 (29,626)
Citation 3

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low volatility, low beta, betting against beta, value

31.

Benchmarking Low-Volatility Strategies

Journal of Index Investing, Vol. 2, No. 1, pp. 44-49, 2011
Number of pages: 13 Posted: 28 Jun 2011
Pim van Vliet and David Blitz
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 942 (30,113)
Citation 1

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benchmarking, low-volatility, volatility effect, minimum variance, minimum volatility, alpha

32.

The Quant Crisis of 2018-2020: Cornered by Big Growth

Journal of Portfolio Management, Forthcoming
Number of pages: 26 Posted: 18 Feb 2021
David Blitz
Robeco Quantitative Investments
Downloads 923 (31,004)

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quant crisis, value premium, factor investing, factor premia, smart beta

33.

Settling the Size Matter

Number of pages: 18 Posted: 09 Sep 2020
David Blitz and Matthias X. Hanauer
Robeco Quantitative Investments and Technische Universität München (TUM)
Downloads 919 (31,225)

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34.

130/30 Investing: Just Another Hype or Here to Stay?

Number of pages: 16 Posted: 14 May 2008
David Blitz
Robeco Quantitative Investments
Downloads 844 (35,130)
Citation 1

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Portfolio Management, Portfolio Construction, 130/30, Short-Extension, Alpha-Extension, Enhanced Active Strategies, Long-Only Constraint, Short Positions, Alpha, Beta, Equity Strategies, Hedge Fund Strategies, Alternative Investments, Hedge Fund Strategies

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Number of pages: 29 Posted: 10 Feb 2011 Last Revised: 13 Jan 2012
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management
Downloads 827 (35,577)
Citation 5

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passive investing, index fund, ETF, emerging markets, performance evaluation, dividend taxes, tracking error

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Emerging Markets Review, Vol. 13, pp. 149-158, 2012
Posted: 06 Mar 2012
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management

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Exchange-traded funds, Performance evaluation, Tracking error

36.

Media Attention and the Volatility Effect

Number of pages: 15 Posted: 21 Jun 2019 Last Revised: 16 Oct 2019
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Investing, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 559 (60,581)
Citation 1

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Alpha, Attention, Big Data, Investing, Media, News, Volatility

37.

Is Exclusion Effective?

Forthcoming, Journal of Portfolio Management
Number of pages: 10 Posted: 10 Feb 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 463 (76,537)
Citation 6

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Divestment; Exclusion; Responsible Investing; Sin Stocks; Sustainability

38.
Downloads 460 ( 77,108)
Citation 6

Agency-Based Asset Pricing and the Beta Anomaly

Number of pages: 51 Posted: 29 May 2012 Last Revised: 20 Dec 2012
David Blitz
Robeco Quantitative Investments
Downloads 460 (76,364)
Citation 2

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asset pricing, beta anomaly, volatility anomaly, Fama-French 3-factor model, agency problems, delegated portfolio management

Agency‐Based Asset Pricing and the Beta Anomaly

European Financial Management, Vol. 20, Issue 4, pp. 770-801, 2014
Number of pages: 32 Posted: 16 Sep 2014
David Blitz
Robeco Quantitative Investments
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Citation 1
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asset pricing, beta anomaly, volatility anomaly, Fama‐French 3‐factor model, agency problems, delegated portfolio management

Agency-Based Asset Pricing and the Beta Anomaly

European Financial Management, Forthcoming
Posted: 16 Jan 2014
David Blitz
Robeco Quantitative Investments

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asset pricing, beta anomaly, volatility anomaly, Fama-French 3-factor model, agency problems, delegated portfolio management

39.

Equity Solvency Capital Requirements: What Institutional Regulation Can Learn from Private Investor Regulation

Geneva Papers on Risk and Insurance - Issues and Practice, Forthcoming
Number of pages: 20 Posted: 29 Aug 2017 Last Revised: 16 Apr 2018
Robeco Quantitative Investments, Robeco Asset Management, Quantitative Investment Research, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 330 (113,282)

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Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II

40.

Who owns tobacco stocks?

Number of pages: 42 Posted: 10 May 2021
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 324 (115,224)
Citation 1

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Divestment, Environmental Social and Governance (ESG), Exclusion, Socially Responsible Investing (SRI), Sustainable Development Goals (SDGs), Sustainable investing, Tobacco

41.

Does Excluding Sin Stocks Cost Performance?

Number of pages: 26 Posted: 05 May 2021 Last Revised: 28 Jun 2021
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 321 (116,341)

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Sin Stocks, Exclusion, Divestment, Environmental Social and Governance (ESG), Socially Responsible Investing (SRI), Sustainable Development Goals (SDGs), Carbon Intensity, Paris-Aligned Investing, Climate Risk, Sustainable investing, Asset Pricing, Factor Investing

42.

The Volatility Effect in China

Journal of Asset Management, Forthcoming
Number of pages: 20 Posted: 19 Jan 2021 Last Revised: 16 Apr 2021
Robeco Quantitative Investments, Technische Universität München (TUM) and Robeco Quantitative Investments
Downloads 275 (137,061)

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China A shares, low risk, low volatility, low beta, minimum variance, anomaly, value, size, momentum, profitability, investments, smart beta, low-volatility investing

43.

Does Sustainable Investing Deprive Unsustainable Firms from Fresh Capital?

Number of pages: 23 Posted: 23 Dec 2020
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 252 (149,603)

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Sustainable investing, Socially Responsible Investing (SRI), Environmental Social and Governance (ESG), Sustainable Development Goals (SDGs), Exclusion, Divestment; Issuance; Capital flows

44.

The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead of Short-Term Bills

Number of pages: 23 Posted: 25 Feb 2020
David Blitz
Robeco Quantitative Investments
Downloads 206 (181,410)
Citation 1

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asset pricing, risk-free asset, CAPM, equity beta, bond beta

45.

Do Tobacco Share Owners Finance the Tobacco Business?

Number of pages: 24 Posted: 28 May 2020 Last Revised: 07 Aug 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 102 (317,786)
Citation 1

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Cost-of-capital, ESG investing, Portfolio management, Sin stocks, Sustainability, Tobacco

46.

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

Journal of Portfolio Management, Vol. 44, No. 1, 2017
Posted: 10 Aug 2017
David Blitz and Frank J. Fabozzi
Robeco Quantitative Investments and EDHEC Business School

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sin stocks, vice, quality, profitability, investment, asset pricing, 5-factor model

47.

Tracking Error Allocation

Journal of Portfolio Management, Vol. 27, No. 4, pp. 19-25, 2001
Posted: 20 Jul 2010
David Blitz and Jouke Hottinga
Robeco Quantitative Investments and AEGON Group

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Risk budgeting, tracking error, risk management