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Global tactical cross-asset allocation : applying value and momentum across asset classes
Blitz, David C.; Vliet, Willem Nicolaas van - In: The journal of portfolio management : a publication of … 35 (2008/09) 1, pp. 23-38
Persistent link: https://www.econbiz.de/10009520484
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THE MARKET - THE VOLATILITY EFFECT
Blitz, David C.; Vliet, Pim Van - In: The journal of portfolio management : a publication of … 34 (2007) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10007878419
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The volatility effect : lower risk without lower return
Blitz, David C. (contributor); Vliet, Pim van (contributor) - 2007
Persistent link: https://www.econbiz.de/10003652377
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PORTFOLIO STRATEGIES - Tracking Error Allocation
Blitz, David C.; Hottinga, Jouke - In: The journal of portfolio management : a publication of … 27 (2001) 4, pp. 19-26
Persistent link: https://www.econbiz.de/10006563674
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Ten things you should know about low-volatility investing
Vliet, Willem Nicolaas van - In: The journal of investing 20 (2011) 4, pp. 141-143
Persistent link: https://www.econbiz.de/10009672032
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Low volatility needs little trading
Vliet, Willem Nicolaas van - In: The journal of portfolio management : a publication of … 44 (2017) 3, pp. 33-42
Persistent link: https://www.econbiz.de/10011877604
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Market portfolio efficiency and value stocks
Post, Thierry; Vliet, Willem Nicolaas van - In: Journal of economics and finance 28 (2004) 3, pp. 300-306
Persistent link: https://www.econbiz.de/10002627424
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The Volatility Effect in China
Blitz, David; Hanauer, Matthias; Vliet, Willem Nicolaas van - 2021
This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A shares market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama-French style VOL factor is not explained by the Fama-French-Carhart factors, and has the strongest...
Persistent link: https://www.econbiz.de/10013250820
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Global factor premiums
Baltussen, Guido; Swinkels, Laurens; Vliet, Willem … - In: Journal of financial economics 142 (2021) 3, pp. 1128-1154
Persistent link: https://www.econbiz.de/10012875933
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Shrinking beta
Blitz, David; Swinkels, Laurens; Ūsaitė, Kristina; … - In: Journal of risk 24 (2022) 6, pp. 25-44
Persistent link: https://www.econbiz.de/10013549669