Raul Leote de Carvalho

BNP Paribas Asset Management

Deputy Head of Quant Research Group

14 rue Bergere

Paris, 75009

France

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 7,274

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Top 7,274

in Total Papers Downloads

7,432

SSRN CITATIONS
Rank 43,100

SSRN RANKINGS

Top 43,100

in Total Papers Citations

8

CROSSREF CITATIONS

8

Scholarly Papers (19)

1.

Inter-Temporal Risk Parity: A Constant Volatility Framework for Equities and Other Asset Classes

Number of pages: 29 Posted: 25 Jan 2014
Romain Perchet, Raul Leote de Carvalho, Thomas Heckel and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners
Downloads 1,892 (10,017)
Citation 4

Abstract:

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risk parity, constant volatility, asset allocation, risk budget, GARCH

2.

Diversify and Purify Factor Premiums in Equity Markets

Number of pages: 24 Posted: 09 Jan 2017
Raul Leote de Carvalho, Lu Xiao, François Soupé and Patrick Dugnolle
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 1,340 (17,248)
Citation 5

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Factor Investing, Value, Quality, Momentum, Low Risk, Smart Beta, Equities

3.

Multi-Alpha Equity Portfolios: An Integrated Risk Budgeting Approach for Robust Constrained Portfolios

Forthcoming Journal of Asset Management
Number of pages: 34 Posted: 10 Nov 2012 Last Revised: 29 Jun 2014
Raul Leote de Carvalho, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 1,151 (21,684)
Citation 1

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robust optimization, risk budgeting, alpha, smart-beta, beta premia, portfolio construction, black-litterman, index funds, active management

4.

Equity Factor Investing: Historical Perspective of Recent Performance

Number of pages: 15 Posted: 09 Jan 2021
Benoit Bellone, Thomas Heckel, François Soupé and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 638 (49,329)
Citation 1

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Factor Investing, Equities, Smart Beta, Value, Momentum, Quality, Low Volatility

5.

Factor Investing: Get Your Exposures Right!

Number of pages: 29 Posted: 26 Nov 2018
François Soupé, Lu Xiao and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Asset Management
Downloads 506 (66,221)
Citation 1

Abstract:

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Factor investing, Portfolio Optimization, Robust Optimization, Mean-variance Optimization, Smart Beta, Black-Litterman

6.

Low Risk Anomaly Everywhere - Evidence from Equity Sectors

Number of pages: 25 Posted: 20 Nov 2014
Raul Leote de Carvalho, Majdouline Zakaria, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas - BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 412 (84,859)

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7.

Insights into Robust Portfolio Optimization: Decomposing Robust Portfolios into Mean-Variance and Risk-Based Portfolios

Number of pages: 30 Posted: 09 Sep 2015
Romain Perchet, Lu Xiao, Raul Leote de Carvalho and Thomas Heckel
BNP Paribas Asset Management, BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 402 (87,305)

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portfolio optimization, portfolio construction, robust optimization, risk-based portfolios, minimum variance, risk parity, equal-risk budget, equally-weighted, mean-variance, Markowitz

8.

Explicit Coupling of Informative Prior and Likelihood Functions in a Bayesian Multivariate Framework and Application to a New Non-Orthogonal Formulation of the Black-Litterman Model

Journal of Asset Management, Forthcoming, OCCAM Financial Technology Working Paper
Number of pages: 36 Posted: 09 Jun 2010
Francois Ogliaro, Robert K. Rice, Stewart Becker and Raul Leote de Carvalho
OCCAM Financial Technology, OCCAM Financial Technology, affiliation not provided to SSRN and BNP Paribas Asset Management
Downloads 277 (131,699)

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Bayesian Inference, Information Filtering, Forecast, Black-Litterman Model, Backtesting

9.

Portfolio Insurance with Adaptive Protection (PIWAP)

Number of pages: 23 Posted: 22 Feb 2015
François Soupé, Thomas Heckel and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 269 (135,824)
Citation 1

Abstract:

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10.

The Low Volatility Anomaly in Equity Sectors – 10 Years Later!

Number of pages: 9 Posted: 12 Nov 2020 Last Revised: 18 Nov 2020
Benoit Bellone and Raul Leote de Carvalho
BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 182 (196,904)

Abstract:

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Low Volatility, Low Risk Anomaly, Minimum Variance, Minimum Volatility, Factor Investing, Equities, Smart Beta, Sectors

11.

Value Investing: Capitulation or Opportunity?

Number of pages: 16 Posted: 22 Mar 2021 Last Revised: 09 Apr 2021
Benoit Bellone and Raul Leote de Carvalho
BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 148 (234,410)

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Factor investing, Equities, Value, Value stocks, Growth stocks, Value spread, Smart

12.

Out-Performing Corporate Bonds Indices With Factor Investing

Bankers Markets & Investors
Number of pages: 12 Posted: 12 Nov 2020 Last Revised: 09 Apr 2021
Thomas Heckel, Zine Amghar, Isaac Haik, Olivier Laplenie and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Asset Management
Downloads 97 (319,064)

Abstract:

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Factor Investing, Smart Beta, Corporate Bonds, Credit, Factor Premiums, High Yield, Investment Grade, Low-Risk, Value, Momentum, Quality

13.

Cross-Sectional Regression Equity Multi-Factor Models: Implementation Pitfalls

Number of pages: 8 Posted: 24 Jun 2019
Raul Leote de Carvalho
BNP Paribas Asset Management
Downloads 96 (323,359)
Citation 1

Abstract:

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14.

Investor Behavior in Manager Selection: Impact on Performance

Number of pages: 8 Posted: 12 Nov 2020
Raul Leote de Carvalho
BNP Paribas Asset Management
Downloads 22 (597,088)

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active fund management, manager selection, dumb money, smart money, alpha chasing, persistent flow

15.

Factor Investing in Corporate Bond Markets: Enhancing Efficacy Through Diversification and Purification!

Forthcoming The Journal of Fixed Income
Posted: 22 Aug 2019 Last Revised: 06 Sep 2019
Thomas Heckel, Zine Amghar, Isaac Haik, Olivier Laplenie and Raul Leote de Carvalho
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Asset Management

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factor investing, smart beta, corporate bonds, credit, factor premiums, high yield, investment grade, low-risk, value, momentum, quality

16.

Decomposing Funding Ratio Risk: Providing Pension Funds with Key Insights into Their Liabilities Hedge Mismatch and Other Factor Exposures

The Journal of Portfolio Management, Summer 2017, Vol. 43, No. 4
Posted: 21 Apr 2015 Last Revised: 24 May 2017
Erik Kroon, Anton Wouters and Raul Leote de Carvalho
BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Asset Management

Abstract:

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LDI, Defined Benefit, Funding Ratio, Risk Attribution, Factor Model, ALM, Pension Funds

17.

Inter-Temporal Risk Parity: A Constant Volatility Framework for Factor Investing

Journal of Investment Strategies, vol. 4, no. 1, 2014
Posted: 25 May 2014 Last Revised: 03 Feb 2015
Romain Perchet, Raul Leote de Carvalho and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners

Abstract:

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Risk Parity, constant volatility, factor investing, smart beta, value, momentum

18.

Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets

The Journal of Fixed Income, vol. 23, no. 4, Spring 2014.
Posted: 07 Sep 2013 Last Revised: 03 Feb 2015
Raul Leote de Carvalho, Patrick Dugnolle, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners

Abstract:

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Low Risk Anomaly, Fixed Income, CAPM, Minimum Variance

19.

Demystifying Equity Risk-Based Strategies: A Simple Alpha Plus Beta Description

The Journal of Portfolio Management, vol. 38, no. 3, Spring 2012.
Posted: 25 Oct 2011 Last Revised: 03 Feb 2015
Raul Leote de Carvalho, Lu Xiao and Pierre Moulin
BNP Paribas Asset Management, BNP Paribas Investment Partners and BNP Paribas Investment Partners

Abstract:

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low volatility, risk-based, minimum variance, equally-weighted, equal-risk budget, equal-risk contribution, maximum diversification, portfolio construction