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David Blitz
David Blitz
Robeco
Geverifieerd e-mailadres voor robeco.nl
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The volatility effect
DC Blitz, P Van Vliet
The Journal of Portfolio Management 34 (1), 102-113, 2007
5662007
Residual momentum
D Blitz, J Huij, M Martens
Journal of Empirical Finance 18 (3), 506-521, 2011
2262011
The volatility effect in emerging markets
D Blitz, J Pang, P Van Vliet
Emerging Markets Review 16, 31-45, 2013
1712013
Evaluating the performance of global emerging markets equity exchange-traded funds
D Blitz, J Huij
Emerging markets review 13 (2), 149-158, 2012
1242012
The performance of European index funds and exchange‐traded funds
D Blitz, J Huij, L Swinkels
European Financial Management 18 (4), 649-662, 2012
1222012
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
1202008
Sin stocks revisited: Resolving the sin stock anomaly
D Blitz, FJ Fabozzi
The Journal of Portfolio Management 44 (1), 105-111, 2017
1162017
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
1002014
Fundamental indexation: An active value strategy in disguise
D Blitz, L Swinkels
Journal of Asset Management 9 (4), 264-269, 2008
942008
The idiosyncratic momentum anomaly
D Blitz, MX Hanauer, M Vidojevic
International Review of Economics & Finance 69, 932-957, 2020
732020
Lower bounds on the asymptotic worst-case ratio of online bin packing algorithms
D Blitz, A van Vliet, GJ Woeginger
Unpublished manuscript 12, 1996
501996
Five concerns with the five-factor model
D Blitz, MX Hanauer, M Vidojevic, P Van Vliet
The Journal of Portfolio Management 44 (4), 71-78, 2018
452018
Short-term residual reversal
D Blitz, J Huij, S Lansdorp, M Verbeek
Journal of Financial Markets 16 (3), 477-504, 2013
452013
Fundamental indexation: Rebalancing assumptions and performance
D Blitz, B Van Der Grient, P Van Vliet
The Journal of Beta Investment Strategies 1 (2), 82-88, 2010
392010
The volatility effect revisited
D Blitz, P Van Vliet, G Baltussen
The Journal of Portfolio Management 46 (2), 45-63, 2019
382019
Strategic allocation to commodity factor premiums
D Blitz, W De Groot
The Journal of Alternative Investments 17 (2), 103-115, 2014
372014
Strategic allocation to premiums in the equity market
D Blitz
The Journal of Index Investing 2 (4), 42-49, 2012
362012
Tracking error allocation
DC Blitz, J Hottinga
The Journal of Portfolio Management 27 (4), 19-25, 2001
362001
Factor investing: Long-only versus long-short
J Huij, S Lansdorp, D Blitz, P van Vliet
Available at SSRN 2417221, 2014
322014
The profitability of low-volatility
D Blitz, M Vidojevic
Journal of Empirical Finance 43, 33-42, 2017
272017
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Artikelen 1–20