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Harald Lohre
Harald Lohre
Head of Quant Equity Research, Robeco
Verified email at robeco.com
Title
Cited by
Cited by
Year
Diversifying risk parity
H Lohre, H Opfer, G Orszag
Journal of Risk 16 (5), 53-79, 2014
902014
Data snooping and the global accrual anomaly
M Leippold, H Lohre
Applied Financial Economics 22 (7), 509-535, 2012
802012
Diversified risk parity strategies for equity portfolio selection
H Lohre, DU Neugebauer, C Zimmer
Journal of Investing 21 (3), 111-128, 2012
722012
Regime shifts and stock return predictability
R Hammerschmid, H Lohre
International Review of Economics & Finance 56, 138-160, 2018
692018
International price and earnings momentum
M Leippold, H Lohre
The European Journal of Finance 18 (6), 535-573, 2012
572012
Hierarchical risk parity: accounting for tail dependencies in multi‐asset multi‐factor allocations
H Lohre, C Rother, KA Schäfer
Machine learning for asset management: new developments and financial …, 2020
542020
Optimal timing and tilting of equity factors
H Dichtl, W Drobetz, H Lohre, C Rother, P Vosskamp
Financial Analysts Journal 75 (4), 84-102, 2019
512019
The promises and pitfalls of machine learning for predicting stock returns
E Leung, H Lohre, D Mischlich, Y Shea, M Stroh
Available at SSRN 3546725, 2021
352021
Estimating portfolio risk for tail risk protection strategies
D Happersberger, H Lohre, I Nolte
European Financial Management 26 (4), 1107-1146, 2020
352020
Maximum diversification strategies along commodity risk factors
S Bernardi, M Leippold, H Lohre
European Financial Management 24 (1), 53-78, 2018
292018
Portfolio Construction with Downside Risk
H Lohre, T Neumann, T Winterfeldt
Available at SSRN 1112982, 2009
25*2009
Navigating the factor zoo around the world: an institutional investor perspective
SM Bartram, H Lohre, PF Pope, A Ranganathan
Journal of Business Economics 91 (5), 655-703, 2021
152021
Why do equally weighted portfolios beat value-weighted ones?
A Swade, MB Shackleton, H Lohre
Journal of Portfolio Management 49 (5), 167-187, 2022
142022
The dispersion effect in international stock returns
M Leippold, H Lohre
Journal of Empirical Finance 29, 331-342, 2014
14*2014
How can machine learning advance quantitative asset management?
D Blitz, T Hoogteijling, H Lohre, P Messow
Available at SSRN 4321398, 2023
112023
The use of correlation networks in parametric portfolio policies
H Lohre, J Papenbrock, M Poonia
Available at SSRN 2505732, 2014
112014
Active factor completion strategies
H Dichtl, W Drobetz, H Lohre, C Rother
The Journal of Portfolio Management 47 (2), 9-37, 2021
102021
Macro Factor Investing with Style
A Swade, H Lohre, MB Shackleton, RS Hixon, J Raol
Journal of Portfolio Management, 80-104, 2022
82022
Diversifying macroeconomic factors—for better or for worse
L Amato, H Lohre
Available at SSRN 3730154, 2020
82020
Factor investing in Paris: managing climate change risk in portfolio construction
J Kolle, H Lohre, E Radatz, C Rother
Journal of Investment Management, Forthcoming, 2022
72022
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