Harald Lohre
Harald Lohre
Executive Director of Research, Robeco
Verified email at
Cited by
Cited by
Diversifying risk parity
H Lohre, H Opfer, G Orszag
Journal of Risk 16 (5), 53-79, 2014
Data snooping and the global accrual anomaly
M Leippold, H Lohre
Applied Financial Economics 22 (7), 509-535, 2012
Diversified risk parity strategies for equity portfolio selection
H Lohre, U Neugebauer, C Zimmer
The Journal of Investing 21 (3), 111-128, 2012
Regime shifts and stock return predictability
R Hammerschmid, H Lohre
International Review of Economics & Finance 56, 138-160, 2018
International price and earnings momentum
M Leippold, H Lohre
The European Journal of Finance 18 (6), 535-573, 2012
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
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
Estimating portfolio risk for tail risk protection strategies
D Happersberger, H Lohre, I Nolte
European Financial Management 26 (4), 1107-1146, 2020
The promises and pitfalls of machine learning for predicting stock returns
E Leung, H Lohre, D Mischlich, Y Shea, M Stroh
The Journal of Financial Data Science, 2021
Portfolio Construction with Downside Risk
H Lohre, T Neumann, T Winterfeldt
Available at SSRN 1112982, 2009
The dispersion effect in international stock returns
M Leippold, H Lohre
Journal of Empirical Finance 29, 331-342, 2014
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
Active factor completion strategies
H Dichtl, W Drobetz, H Lohre, C Rother
The Journal of Portfolio Management 47 (2), 9-37, 2020
The use of correlation networks in parametric portfolio policies
H Lohre, J Papenbrock, M Poonia
Available at SSRN 2505732, 2014
Rates factors and global asset allocation
J Kothe, H Lohre, C Rother
The Journal of Fixed Income 30 (3), 6-25, 2020
Diversifying Macroeconomic Factors—For Better or for Worse
L Amato, H Lohre
Available at SSRN 3730154, 2020
Why do equally weighted portfolios beat value-weighted ones?
A Swade, S Nolte, M Shackleton, H Lohre
The Journal of Portfolio Management 49 (5), 167-187, 2023
Macro Factor Investing with Style
A Swade, H Lohre, M Shackleton, S Nolte, S Hixon, J Raol
The Journal of Portfolio Management 48 (2), 80-104, 2021
How can machine learning advance quantitative asset management?
D Blitz, T Hoogteijling, H Lohre, P Messow
The Journal of Portfolio Management, 2023
Economic versus statistical clustering in multi-asset multi-factor strategies
M Kolrep, H Lohre, E Radatz, C Rother
Risk & Reward, 26-32, 2020
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