Carsten Rother

Invesco

An der Welle 5

Frankfurt am Main, 60322

Germany

University of Hamburg

Allende-Platz 1

Hamburg, 20146

Germany

SCHOLARLY PAPERS

11

DOWNLOADS
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6,340

SSRN CITATIONS
Rank 45,309

SSRN RANKINGS

Top 45,309

in Total Papers Citations

13

CROSSREF CITATIONS

2

Scholarly Papers (11)

1.

Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations

Chapter 9 in: Machine Learning and Asset Management, Emmanuel Jurczenko (ed.), Iste and Wiley, 2020, pp. 332-368
Number of pages: 33 Posted: 08 Jan 2020 Last Revised: 09 Nov 2020
Harald Lohre, Carsten Rother and Kilian Axel Schäfer
Robeco Quantitative Investments, Invesco and Metzler Asset Management
Downloads 2,527 (7,526)
Citation 6

Abstract:

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Multi-asset Multi-factor Investing, Diversification, Hierarchical Risk Parity, Tail Dependence

2.

Optimal Timing and Tilting of Equity Factors

Financial Analysts Journal, 2019, Vol. 75(4), pp. 84-102
Number of pages: 31 Posted: 15 Dec 2018 Last Revised: 23 Oct 2019
dichtl research & consulting GmbH, University of Hamburg, Robeco Quantitative Investments, Invesco and Allianz Global Investors
Downloads 1,357 (20,107)
Citation 8

Abstract:

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asset allocation, factor investing, factor timing, factor tilting, parametric portfolio policy

3.

Economic Versus Statistical Clustering in Multi-Asset Multi-Factor Strategies

Risk & Reward, 2020, 1st issue, pp. 26-32
Number of pages: 8 Posted: 16 Mar 2020
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 517 (75,037)
Citation 1

Abstract:

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Multi-asset multi-factor investing, diversification, hierarchical risk parity

4.

Performance Attribution Through a Factor Lens

Invesco Risk & Reward, #2/2018, pp. 32-38.
Number of pages: 8 Posted: 31 Jul 2018
Sanne De Boer, Julian Keuerleber and Carsten Rother
Voya Investment Management, Invesco and Invesco
Downloads 506 (77,043)

Abstract:

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factor investing, performance attribution

5.

Tailoring Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 1st issue, pp. 18-23
Number of pages: 8 Posted: 12 Jun 2018
Joo Hee Lee, Harald Lohre, Jay H Raol and Carsten Rother
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 385 (106,301)

Abstract:

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Style Factors, Factor Investing, Factor Completion, Maximum Diversification, Risk Parity

6.

Tail Risk Management for Multi-Asset Multi-Factor Strategies

Risk & Reward, 2018, 4th issue, pp. 14-20
Number of pages: 9 Posted: 20 Feb 2019
David Chambers, Harald Lohre and Carsten Rother
University of Cambridge - Judge Business School, Robeco Quantitative Investments and Invesco
Downloads 356 (115,993)
Citation 1

Abstract:

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Factor Investing, Tail Risk Management, Maximum Diversification, Risk Parity

7.

On the Relevance of Strategic and Tactical Asset Allocation for Portfolio Insurance

Risk & Reward, 2020, 2nd issue, pp. 4-10
Number of pages: 9 Posted: 05 Jun 2020
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 323 (129,006)

Abstract:

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Portfolio insurance, Tactical asset allocation

8.

Factor Investing in Paris: Managing Climate Change Risk in Portfolio Construction

Journal of Investment Management, Forthcoming
Number of pages: 23 Posted: 29 Apr 2022
Janina Kolle, Harald Lohre, Erhard Radatz and Carsten Rother
Invesco, Robeco Quantitative Investments, Invesco and Invesco
Downloads 236 (177,228)

Abstract:

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Factor Investing, Portfolio Optimization, Sustainable Investments, Net Zero Framework, Paris Alignment

9.

A Factor-Based Approach to Diversifying Oil Exposure

Risk & Reward, 2019, 2nd issue, pp. 4-9
Number of pages: 8 Posted: 11 Jul 2019
Robeco Quantitative Investments, Invesco, Invesco and Invesco Investment Solutions
Downloads 133 (290,214)

Abstract:

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Style Factors, Factor Investing, Factor Completion, Maximum Diversification, Risk Parity

10.

Rates Factors and Global Asset Allocation

Journal of Fixed Income, Winter 2021, Vol. 30(3), pp. 6-25
Posted: 30 Jul 2020 Last Revised: 11 Feb 2021
Joshua Kothe, Harald Lohre and Carsten Rother
affiliation not provided to SSRN, Robeco Quantitative Investments and Invesco

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Factor-based models, style investing, fixed income, structured finance

11.

Active Factor Completion Strategies

Journal of Portfolio Management, 2021 Quantitative Special Issue, Vol. 47(2), pp. 9-37
Posted: 16 Apr 2019 Last Revised: 08 Feb 2022
dichtl research & consulting GmbH, University of Hamburg, Robeco Quantitative Investments and Invesco

Abstract:

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Diversification, Risk Parity, Factor Completion, Multi-Asset Multi-Factor Investing, Factor-based Models, Portfolio Management/Multi-Asset Allocation, Style Investing