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David C. Blitz
David C. Blitz (born 24 July 1973) is a Dutch Econometrics, econometrician and quantitative researcher on financial markets. He is a founding researcher of Robeco Quantitative Investments. Education Blitz holds a PhD in Finance and a Master's in Econometrics (cum laude) from Erasmus University Rotterdam. Career Blitz, chief researcher at Robeco, has spent most of his career on designing and developing the quantitative investment strategies. Blitz serves on the advisory editorial board of the The Journal of Portfolio Management, Journal of Portfolio Management. He has published over 25 of articles in peer-reviewed academic journals, such as the CFA Institute, Financial Analyst Journal, Journal of Empirical Finance, and European Financial Management. Blitz started his career in the investment industry at Robeco in 1995. He specializes in low-volatility investing and factor investing challenging the classical Capital asset pricing model, Capital Asset Pricing Model and the Fama– ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometrics
Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8–22 Reprinted in J. Eatwell ''et al.'', eds. (1990). ''Econometrics: The New Palgrave''p. 1p. 1–34Abstract (2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran). More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference". An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships". Jan Tinbergen is one of the two founding fathers of econometrics. The other, Ragnar Frisch, also coined the term in the sense in which it is used today. A basic tool for econometrics is the multiple linear regression model. ''Econometric the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Eric Falkenstein
Eric Falkenstein (born 14 August 1965) is an American financial economist and an expert in the field of low-volatility investing. He is an academic researcher, blogger, quant portfolio manager, and book author. Education Falkenstein received his economics PhD from Northwestern University in 1994, and wrote his dissertation on the low return to high volatility stocks. Career He was a teaching assistant for Hyman Minsky at Washington University in St. Louis. He set up a value at risk system for trading operations at KeyCorp bank, then a firm-wide economic risk capital allocation methodology. He was a founding researcher of RiskCalc, Moody's private firm default probability model, the premier private firm default model in the world. He has been an equity portfolio manager at Pine River Capital Management and developed trading algorithms for Walleye Software. He is currently working on Ethereum contracts. Writing Falkenstein has blogged for many years and was among the to ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Dutch Economists
Dutch commonly refers to: * Something of, from, or related to the Netherlands * Dutch people () * Dutch language () Dutch may also refer to: Places * Dutch, West Virginia, a community in the United States * Pennsylvania Dutch Country People Ethnic groups * Germanic peoples, the original meaning of the term ''Dutch'' in English ** Pennsylvania Dutch, a group of early Germanic immigrants to Pennsylvania *Dutch people, the Germanic group native to the Netherlands Specific people * Dutch (nickname), a list of people * Johnny Dutch (born 1989), American hurdler * Dutch Schultz (1902–1935), American mobster born Arthur Simon Flegenheimer * Dutch Mantel, ring name of American retired professional wrestler Wayne Maurice Keown (born 1949) * Dutch Savage, ring name of professional wrestler and promoter Frank Stewart (1935–2013) Arts, entertainment, and media Fictional characters * Dutch (''Black Lagoon''), an African-American character from the Japanese manga and anime ''Bl ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometricians
Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8–22 Reprinted in J. Eatwell ''et al.'', eds. (1990). ''Econometrics: The New Palgrave''p. 1 p. 1–34Abstract (2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran). More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference". An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships". Jan Tinbergen is one of the two founding fathers of econometrics. The other, Ragnar Frisch, also coined the term in the sense in which it is used today. A basic tool for econometrics is the multiple linear regression model. ''Econometric ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Factor Investing
Factor investing is an investment approach that involves targeting quantifiable firm characteristics or “factors” that can explain differences in stock returns. Security characteristics that may be included in a factor-based approach include size, low-volatility, value, momentum, asset growth, profitability, leverage, term and cost of carry. A factor-based investment strategy involves tilting investment portfolios towards and away from specific factors in an attempt to generate long-term investment returns in excess of benchmarks. The approach is quantitative and based on observable data, such as stock prices and financial information, rather than on opinion or speculation. Factor premiums are also documented in corporate bond markets and also across markets. History The earliest theory of factor investing originated with a research paper by Stephen A. Ross in 1976 on arbitrage pricing theory, which argued that security returns are best explained by multiple factors. Prior to ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Momentum Investing
Momentum investing is a system of buying stocks or other securities that have had high returns over the past three to twelve months, and selling those that have had poor returns over the same period. While momentum investing is well-established as a phenomenon no consensus exists about the explanation for this strategy, and economists have trouble reconciling momentum with the efficient market hypothesis and random walk hypothesis. Two main hypotheses have been submitted to explain the momentum effect in terms of an efficient market. In the first, it is assumed that momentum investors bear significant risk for assuming this strategy, and, therefore, the high returns are a compensation for the risk. Momentum strategies often involve disproportionately trading in stocks with high bid-ask spreads and so it is important to take transactions costs into account when evaluating momentum profitability. The second theory assumes that momentum investors are exploiting behavioral shortcomings ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Low-volatility Investing
Low-volatility investing is an investment style that buys stocks or securities with low volatility and avoids those with high volatility. This investment style exploits the low-volatility anomaly. According to financial theory risk and return should be positively related, however in practice this is not true. Low-volatility investors aim to achieve market-like returns, but with lower risk. This investment style is also referred to as minimum volatility, minimum variance, managed volatility, smart beta, defensive and conservative investing. History The low-volatility anomaly was already discovered in the early 1970s, yet it only became a popular investment style after the 2008 global financial crises. The first tests of the Capital Asset Pricing Model (CAPM) showed that the risk-return relation was too flat. Two decades later, in 1992 the seminal study by Fama and French clearly showed that market beta (risk) and return were not related when controlling for firm size. Fi ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Barendrecht
Barendrecht () is a town and municipality in the west of the Netherlands, near Rotterdam, South Holland. The municipality had a population of in , and covers an area of of which is water. The municipality of Barendrecht also includes Barendrecht-Carnisselande and Smitshoek. History The name "Barendrecht" is derived from the Germanic word ''birni'', translated as "mud" or "muddy", and the Latin word ''trāiectum'' translated as "to cross (a river)" to denote a muddy river crossing. The current municipality of Barendrecht is located in the area of three former fiefdoms: East-Barendrecht, West-Barendrecht, and Carnisse. The oldest reference to East-Barendrecht is from 1264. These fiefdoms were in Riederwaard, an area reclaimed from water since the 12th century but had to deal with frequent dike breaches throughout the 13th and 14th centuries. Further stages in land reclamation, constituting the major part of modern Barendrecht, were the Binnenland polder (1484), Buitenland p ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Peter L
Peter may refer to: People * List of people named Peter, a list of people and fictional characters with the given name * Peter (given name) ** Saint Peter (died 60s), apostle of Jesus, leader of the early Christian Church * Peter (surname), a surname (including a list of people with the name) Culture * Peter (actor) (born 1952), stage name Shinnosuke Ikehata, Japanese dancer and actor * ''Peter'' (album), a 1993 EP by Canadian band Eric's Trip * ''Peter'' (1934 film), a 1934 film directed by Henry Koster * ''Peter'' (2021 film), Marathi language film * "Peter" (''Fringe'' episode), an episode of the television series ''Fringe'' * ''Peter'' (novel), a 1908 book by Francis Hopkinson Smith * "Peter" (short story), an 1892 short story by Willa Cather Animals * Peter, the Lord's cat, cat at Lord's Cricket Ground in London * Peter (chief mouser), Chief Mouser between 1929 and 1946 * Peter II (cat), Chief Mouser between 1946 and 1947 * Peter III (cat), Chief Mouser between ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
H-index
The ''h''-index is an author-level metric that measures both the productivity and citation impact of the publications, initially used for an individual scientist or scholar. The ''h''-index correlates with obvious success indicators such as winning the Nobel Prize, being accepted for research fellowships and holding positions at top universities. The index is based on the set of the scientist's most cited papers and the number of citations that they have received in other publications. The index has more recently been applied to the productivity and impact of a scholarly journal as well as a group of scientists, such as a department or university or country. The index was suggested in 2005 by Jorge E. Hirsch, a physicist at UC San Diego, as a tool for determining theoretical physicists' relative quality and is sometimes called the Hirsch index or Hirsch number. Definition and purpose The ''h''-index is defined as the maximum value of ''h'' such that the given author/jo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Pim Van Vliet
Pim van Vliet (born 30 September 1977) is a Dutch fund manager and head of conservative equities at Robeco Asset Management. Education Pim van Vliet holds a PhD in finance and a Master's in Economics (cum laude) from Erasmus University Rotterdam. He has a history degree and successfully completed a dissertation on Downside Risk and Empirical Asset Pricing in 2004. Career In 2005, van Vliet transitioned from academia to Robeco, assuming the role of a quantitative fund analyst. At Robeco, his focus was on developing and managing quantitative strategies. In 2006, he founded Robeco's Conservative Equity strategies, which he heads and currently serves as Chief Quantitative Strategist at Robeco. Throughout his career, van Vliet has made significant contributions to the field of scientific investing. He has authored 36 research papers on quantitative investing in general and low-volatility investing in particular. In 2016 he wrote thinvestment book"High returns from Low risk" wh ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
