User profiles for W. G. Hallerbach
Winfried G. HallerbachLecturer at EDHEC Business School, Nice Verified email at edhec.com Cited by 1597 |
Decomposing portfolio value-at-risk: A general analysis
WG Hallerbach - 1999 - econstor.eu
An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending
on both the degree of non-linearity of the instruments comprised in the …
on both the degree of non-linearity of the instruments comprised in the …
The relevance of MCDM for financial decisions
WG Hallerbach, J Spronk - Journal of Multi‐Criteria Decision …, 2002 - Wiley Online Library
For people working in finance, either in academia or in practice or in both, the combination
of ‘finance’ and ‘multiple criteria’ is not obvious. However, we believe that many of the tools …
of ‘finance’ and ‘multiple criteria’ is not obvious. However, we believe that many of the tools …
A proof of the optimality of volatility weighting over time
WG Hallerbach - Available at SSRN 2008176, 2012 - papers.ssrn.com
We provide a proof that volatility weighting over time increases the Sharpe or Information
Ratio. The higher the degree of volatility smoothing achieved by volatility weighting, the higher …
Ratio. The higher the degree of volatility smoothing achieved by volatility weighting, the higher …
Disentangling rebalancing return
WG Hallerbach - Journal of Asset Management, 2014 - Springer
The use of portfolio rebalancing as a profitable strategy (or ‘volatility harvesting’) is a hot
topic. Indeed, it is interesting to know what the impact of periodic rebalancing is on the growth …
topic. Indeed, it is interesting to know what the impact of periodic rebalancing is on the growth …
On the Expected Performance of MarketTiming Strategies
WG Hallerbach - The Journal of Portfolio Management, 2014 - pm-research.com
The author derives expressions for the information ratio (IR) that can be expected from
directional market-timing strategies. The results hold as accurate approximations and lift the …
directional market-timing strategies. The results hold as accurate approximations and lift the …
Uncovering trend rules
P Beekhuizen, WG Hallerbach - Available at SSRN 2604942, 2015 - papers.ssrn.com
… *) Investment Research, Robeco Asset Management, Coolsingel 120, 3011 AG, Rotterdam,
The Netherlands, p.beekhuizen@robeco.com, w.hallerbach@robeco.com. We thank Thijs …
The Netherlands, p.beekhuizen@robeco.com, w.hallerbach@robeco.com. We thank Thijs …
Volatility weighting applied to momentum strategies
JP Du Plessis, WG Hallerbach - Journal of Alternative Investments …, 2017 - papers.ssrn.com
… The directional momentum set-up is a specific case of the market timing strategies as
examined in Hallerbach (2014), so we can use his results. Specifically, it can be shown that for a …
examined in Hallerbach (2014), so we can use his results. Specifically, it can be shown that for a …
Ibbotson's default premium: Risky data
WG Hallerbach, P Houweling - The Journal of Investing, Summer, 2011 - papers.ssrn.com
Ibbotson’s “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides
monthly US financial data series going back to as early as 1926. In this data set, the “default …
monthly US financial data series going back to as early as 1926. In this data set, the “default …
Enhancing risk parity by including views
D Haesen, WG Hallerbach, TD Markwat… - Journal of …, 2017 - papers.ssrn.com
Within the finance literature there is an apparent gap between the inherent risk premium
ignorance of a risk parity approach on the one hand and the assumed risk premium …
ignorance of a risk parity approach on the one hand and the assumed risk premium …
An improved estimator for Black-Scholes-Merton implied volatility
WG Hallerbach - ERIM Report Series No. ERS-2004-054-F&A, 2004 - papers.ssrn.com
We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to
the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation …
the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation …