Items where Author is "Lohre, Harald"

Journal Article

Howard, Clint and Lohre, Harald and Mudde, Sebastiaan (2025) Causal Network Representations in Factor Investing. Intelligent Systems in Accounting, Finance and Management, 32 (1): e70001. ISSN 1055-615X

Lohre, Harald and Blitz, David and Chen, Mike and Howard, Clint (2024) 3D Investing : Jointly Optimizing Return, Risk, and Sustainability. Financial Analysts Journal, 80 (3). pp. 59-75. ISSN 0015-198X

Basic, Filip and Lohre, Harald and Martin Utrera, Alberto and Nolte, Ingmar and Nolte, Sandra (2024) Transaction Cost-Optimized Equity Factors Around the World. Journal of Portfolio Management, 50 (6). pp. 40-73. ISSN 0095-4918

Swade, Alexander and Lohre, Harald and Nolte, Sandra and Shackleton, Mark and Swinkels, Laurens (2024) A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles. Journal of Portfolio Management, 50 (5). pp. 37-56. ISSN 0095-4918

Swade, Alexander and Hanauer, Matthias and Lohre, Harald and Blitz, David (2023) Factor Zoo (.zip). Journal of Portfolio Management, 55 (3). pp. 11-31. ISSN 0095-4918

Lohre, Harald and Nolte, Sandra and Ranganathan, Ananthalakshmi and Rother, Carsten and Steiner, Margit (2023) ControversyBERT : Detecting Social Controversies and their Impact on Stock Returns. Journal of Impact & ESG Investing. ISSN 2693-1982

Blitz, David and Hoogteijling, Tobias and Lohre, Harald and Messow, Philip (2023) How can machine learning advance quantitative asset management. Journal of Portfolio Management, 49 (7). ISSN 0095-4918

Ranganathan, Ananthalakshmi and Lohre, Harald and Nolte, Sandra and Braham, Houssem (2023) An integrated approach to currency factor investing. Journal of Systematic Investing, 3 (1). pp. 1-25.

Swade, Alexander and Nolte, Sandra and Shackleton, Mark and Lohre, Harald (2023) Why do equally weighted portfolios beat value-weighted ones? Journal of Portfolio Management, 49 (5). pp. 167-187. ISSN 0095-4918

Kolle, Janina and Lohre, Harald and Radatz, Erhard and Rother, Carsten (2022) Factor Investing in Paris : Managing Climate Change Risk in Portfolio Construction. Journal of Investment Management, 20 (4). pp. 35-51.

Swade, Alexander and Lohre, Harald and Shackleton, Mark and Nolte, Sandra and Hixon, Scott and Raol, Jay (2022) Macro Factor Investing with Style. Journal of Portfolio Management, 48 (2). pp. 80-104. ISSN 0095-4918

Bartram, Söhnke M. and Lohre, Harald and Pope, Peter F. and Ranganathan, Ananthalakshmi (2021) Navigating the factor zoo around the world : an institutional investor perspective. Journal of Business Economics, 91 (5). pp. 655-703. ISSN 0044-2372

Leung, Edward and Lohre, Harald and Mischlich, David and Shea, Yifei and Stroh, Maximilian (2021) The Promises and Pitfalls of Machine Learning for Predicting Stock Returns. Journal of Financial Data Science, 3 (2). pp. 21-50. ISSN 2640-3943

Dichtl, Hubert and Drobetz, Wolfgang and Lohre, Harald and Rother, Carsten (2021) Active factor completion strategies. Journal of Portfolio Management, 47 (2). pp. 9-37. ISSN 0095-4918

Kothe, Joshua and Lohre, Harald and Rother, Carsten (2021) Rates factors and global asset allocation. Journal of Fixed Income, 30 (3). pp. 6-25. ISSN 1059-8596

Happersberger, David and Lohre, Harald and Nolte, Ingmar (2020) Estimating Portfolio Risk for Tail Risk Protection Strategies. European Financial Management, 26 (4). pp. 1107-1146. ISSN 1354-7798

Dichtl, Hubert and Drobetz, Wolfgang and Lohre, Harald and Rother, Carsten and Vosskamp, Patrick (2019) Optimal Timing and Tilting of Equity Factors. Financial Analysts Journal, 75 (4). pp. 84-102. ISSN 0015-198X

Bernardi, Simone and Leippold, Markus and Lohre, Harald (2019) Second-order risk of alternative risk parity strategies. Journal of Risk, 21 (3). pp. 1-25. ISSN 1465-1211

Hammerschmid, Regina and Lohre, Harald (2018) Regime shifts and stock return predictability. International Review of Economics and Finance, 56. pp. 138-160. ISSN 1059-0560

Bernardi, Simone and Leippold, Markus and Lohre, Harald (2018) Maximum diversification strategies along commodity risk factors. European Financial Management, 24 (1). pp. 53-78. ISSN 1354-7798

Leippold, Markus and Lohre, Harald (2014) The dispersion effect in international stock returns. Journal of Empirical Finance, 29. pp. 331-342. ISSN 0927-5398

Lohre, Harald and Opfer, Heiko and Ország, Gábor (2014) Diversifying risk parity. Journal of Risk, 16 (5). pp. 53-79. ISSN 1465-1211

Lohre, Harald and Neugebauer, Ulrich and Zimmer, Carsten (2012) Diversified Risk Parity Strategies for Equity Portfolio Selection. Journal of Investing, 21 (3). pp. 111-128. ISSN 2168-8613

Leippold, Markus and Lohre, Harald (2012) International price and earnings momentum. European Journal of Finance, 18 (6). pp. 535-573. ISSN 1351-847X

Leippold, Markus and Lohre, Harald (2012) Data snooping and the global accrual anomaly. Applied Financial Economics, 22 (7). pp. 509-535. ISSN 0960-3107

Contribution in Book/Report/Proceedings

Lohre, Harald and Rother, Carsten and Schäfer, Kilian Axel (2020) Hierarchical Risk Parity : Accounting for Tail Dependencies in Multi-asset Multi-factor Allocations. In: Machine Learning for Asset Management : New Developments and Financial Applications. Innovation, Entrepreneurship and Management Series . John Wiley & Sons, Chichester, pp. 332-368. ISBN 9781786305442

Lohre, Harald and Opfer, Heiko and Ország, Gábor (2015) Diversifying Risk Parity : In Today, Out Tomorrow? In: Risk-Based and Factor Investing :. ISTE Press, pp. 97-122. ISBN 9781785480089

Lohre, Harald and Neumann, Thorsten and Winterfeldt, Thomas (2013) Portfolio Construction with Downside Risk. In: Portfolio Theory and Management :. Oxford University Press, pp. 268-292. ISBN 9780199829699

Monograph

Swade, Alexander and Nolte, Sandra and Shackleton, Mark and Lohre, Harald (2022) Why do equally weighted portfolios beat value-weighted ones? Working Paper. Portfolio Management Research. (In Press)

Amato, Livia and Lohre, Harald (2021) Diversifying Macroeconomic Factors — For Better or for Worse. Working Paper. UNSPECIFIED.

Thesis

Ranganathan, Ananthalakshmi and Nolte, Sandra and Lohre, Harald (2023) Multi-Asset Factor Investing Strategies and Controversy Screening using Natural Language Processing. PhD thesis, Lancaster University.

Happersberger, David and Nolte, Ingmar and Lohre, Harald (2022) Advancing Systematic and Factor Investing Strategies using Alternative Data and Machine Learning. PhD thesis, Lancaster University.

Lohre, Harald and Volkart, Rudolf and Leippold, Markus (2008) Rationalizing global market anomalies. PhD thesis, University of Zurich.