David Blitz
David Blitz
Robeco
Verified email at robeco.nl
Title
Cited by
Cited by
Year
The volatility effect
DC Blitz, P Van Vliet
The Journal of Portfolio Management 34 (1), 102-113, 2007
4662007
Residual momentum
D Blitz, J Huij, M Martens
Journal of Empirical Finance 18 (3), 506-521, 2011
1612011
The volatility effect in emerging markets
D Blitz, J Pang, P Van Vliet
Emerging Markets Review 16, 31-45, 2013
1342013
Global tactical cross-asset allocation: applying value and momentum across asset classes
DC Blitz, P Van Vliet
The Journal of Portfolio Management 35 (1), 23-38, 2008
1012008
The performance of European index funds and exchange‐traded funds
D Blitz, J Huij, L Swinkels
European Financial Management 18 (4), 649-662, 2012
962012
Fundamental indexation: An active value strategy in disguise
D Blitz, L Swinkels
Journal of Asset Management 9 (4), 264-269, 2008
902008
Evaluating the performance of global emerging markets equity exchange-traded funds
D Blitz, J Huij
Emerging Markets Review 13 (2), 149-158, 2012
872012
Explanations for the volatility effect: An overview based on the CAPM assumptions
D Blitz, E Falkenstein, P Van Vliet
The Journal of Portfolio Management 40 (3), 61-76, 2014
722014
Sin stocks revisited: Resolving the sin stock anomaly
D Blitz, FJ Fabozzi
The Journal of Portfolio Management 44 (1), 105-111, 2017
462017
Lower bounds on the asymptotic worst-case ratio of online bin packing algorithms
D Blitz, A van Vliet, GJ Woeginger
Unpublished manuscript 12, 1996
431996
Fundamental indexation: Rebalancing assumptions and performance
D Blitz, B Van Der Grient, P Van Vliet
The Journal of Index Investing 1 (2), 82-88, 2010
342010
Tracking error allocation
DC Blitz, J Hottinga
The Journal of Portfolio Management 27 (4), 19-25, 2001
332001
Strategic allocation to commodity factor premiums
D Blitz, W De Groot
The Journal of Alternative Investments 17 (2), 103-115, 2014
322014
Strategic allocation to premiums in the equity market
D Blitz
The Journal of Index Investing 2 (4), 42-49, 2012
322012
The idiosyncratic momentum anomaly
D Blitz, MX Hanauer, M Vidojevic
International Review of Economics & Finance, 2020
312020
Short-term residual reversal
D Blitz, J Huij, S Lansdorp, M Verbeek
Journal of Financial Markets 16 (3), 477-504, 2013
312013
Factor investing: Long-only versus long-short
J Huij, S Lansdorp, D Blitz, P van Vliet
Available at SSRN 2417221, 2014
272014
Is the relation between volatility and expected stock returns positive, flat or negative?
P Van Vliet, D Blitz, B van der Grient
Flat or Negative, 2011
252011
Agency‐Based Asset Pricing and the Beta Anomaly
D Blitz
European Financial Management 20 (4), 770-801, 2014
212014
Benchmarking low-volatility strategies
D Blitz, P van Vliet
The Journal of Index Investing 2 (1), 44-49, 2011
212011
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