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Dr Harald Lohre

Honorary Researcher

  1. 2024
  2. Published

    A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles

    Swade, A., Lohre, H., Nolte, S., Shackleton, M. & Swinkels, L., 29/02/2024, In: Journal of Portfolio Management. 50, 5, p. 37-56 20 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  3. E-pub ahead of print

    Transaction Cost-Optimized Equity Factors Around the World

    Basic, F., Lohre, H., Martin Utrera, A., Nolte, I. & Nolte, S., 22/02/2024, (E-pub ahead of print) In: Journal of Portfolio Management.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  4. 2023
  5. Published

    The Golden Rule of Investing

    Van Vliet, P. & Lohre, H., 31/12/2023, In: Journal of Alternative Investments. 26, 3, p. 23-40 18 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  6. Published

    Factor Zoo (.zip)

    Swade, A., Hanauer, M., Lohre, H. & Blitz, D., 24/11/2023, In: Journal of Portfolio Management. 55, 3, p. 11-31 21 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  7. E-pub ahead of print

    ControversyBERT: Detecting Social Controversies and their Impact on Stock Returns

    Lohre, H., Nolte, S., Ranganathan, A., Rother, C. & Steiner, M., 26/07/2023, (E-pub ahead of print) In: Journal of Impact & ESG Investing.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  8. Published

    How can machine learning advance quantitative asset management

    Blitz, D., Hoogteijling, T., Lohre, H. & Messow, P., 20/07/2023, In: Journal of Portfolio Management. 49, 7, 18 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  9. Published

    An integrated approach to currency factor investing

    Ranganathan, A., Lohre, H., Nolte, S. & Braham, H., 27/05/2023, In: Journal of Systematic Investing. 3, 1, p. 1-25 25 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  10. Published

    Why do equally weighted portfolios beat value-weighted ones?

    Swade, A., Nolte, S., Shackleton, M. & Lohre, H., 31/03/2023, In: Journal of Portfolio Management. 49, 5, p. 167-187 21 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  11. 2022
  12. Published

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

    Kolle, J., Lohre, H., Radatz, E. & Rother, C., 7/12/2022, In: Journal of Investment Management. 20, 4, p. 35-51 17 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  13. Published

    Macro Factor Investing with Style

    Swade, A., Lohre, H., Shackleton, M., Nolte, S., Hixon, S. & Raol, J., 3/01/2022, In: Journal of Portfolio Management. 48, 2, p. 80-104 25 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  14. 2021
  15. Published

    Navigating the factor zoo around the world: an institutional investor perspective

    Bartram, S. M., Lohre, H., Pope, P. F. & Ranganathan, A., 31/07/2021, In: Journal of Business Economics. 91, 5, p. 655-703 49 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  16. Published

    The Promises and Pitfalls of Machine Learning for Predicting Stock Returns

    Leung, E., Lohre, H., Mischlich, D., Shea, Y. & Stroh, M., 3/05/2021, In: Journal of Financial Data Science. 3, 2, p. 21-50 30 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  17. Active factor completion strategies

    Dichtl, H., Drobetz, W., Lohre, H. & Rother, C., 31/01/2021, In: Journal of Portfolio Management. 47, 2, p. 9-37 29 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  18. Published

    Rates factors and global asset allocation

    Kothe, J., Lohre, H. & Rother, C., 31/01/2021, In: Journal of Fixed Income. 30, 3, p. 6-25 20 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  19. Published

    Diversifying Macroeconomic Factors — For Better or for Worse

    Amato, L. & Lohre, H., 8/01/2021, 54 p.

    Research output: Working paper

  20. 2020
  21. Published

    Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-asset Multi-factor Allocations

    Lohre, H., Rother, C. & Schäfer, K. A., 30/06/2020, Machine Learning for Asset Management: New Developments and Financial Applications. Jurczenko, E. (ed.). Chichester: John Wiley & Sons, p. 332-368 37 p. (Innovation, Entrepreneurship and Management Series).

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  22. E-pub ahead of print

    Estimating Portfolio Risk for Tail Risk Protection Strategies

    Happersberger, D., Lohre, H. & Nolte, I., 3/02/2020, (E-pub ahead of print) In: European Financial Management. 26, 4, p. 1107-1146 40 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  23. 2019
  24. Published

    Optimal Timing and Tilting of Equity Factors

    Dichtl, H., Drobetz, W., Lohre, H., Rother, C. & Vosskamp, P., 2/10/2019, In: Financial Analysts Journal. 75, 4, p. 84-102 19 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  25. Published

    Second-order risk of alternative risk parity strategies

    Bernardi, S., Leippold, M. & Lohre, H., 28/02/2019, In: Journal of Risk. 21, 3, p. 1-25 25 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  26. 2018
  27. Published

    Regime shifts and stock return predictability

    Hammerschmid, R. & Lohre, H., 31/07/2018, In: International Review of Economics and Finance. 56, p. 138-160 23 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  28. Published

    Maximum diversification strategies along commodity risk factors

    Bernardi, S., Leippold, M. & Lohre, H., 31/01/2018, In: European Financial Management. 24, 1, p. 53-78 26 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  29. 2015
  30. Published

    Diversifying Risk Parity: In Today, Out Tomorrow?

    Lohre, H., Opfer, H. & Ország, G., 19/11/2015, Risk-Based and Factor Investing. ISTE Press, p. 97-122 26 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  31. 2014
  32. Published

    The dispersion effect in international stock returns

    Leippold, M. & Lohre, H., 31/12/2014, In: Journal of Empirical Finance. 29, p. 331-342 12 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  33. Diversifying risk parity

    Lohre, H., Opfer, H. & Ország, G., 29/06/2014, In: Journal of Risk. 16, 5, p. 53-79 27 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  34. 2013
  35. Published

    Portfolio Construction with Downside Risk

    Lohre, H., Neumann, T. & Winterfeldt, T., 1/05/2013, Portfolio Theory and Management. Baker, H. K. & Filbeck, G. (eds.). Oxford University Press, p. 268-292 25 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  36. 2012
  37. Published

    Diversified Risk Parity Strategies for Equity Portfolio Selection

    Lohre, H., Neugebauer, U. & Zimmer, C., 31/08/2012, In: Journal of Investing. 21, 3, p. 111-128 18 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  38. Published

    International price and earnings momentum

    Leippold, M. & Lohre, H., 1/07/2012, In: European Journal of Finance. 18, 6, p. 535-573 39 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  39. Published

    Data snooping and the global accrual anomaly

    Leippold, M. & Lohre, H., 1/04/2012, In: Applied Financial Economics. 22, 7, p. 509-535 27 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review

  40. 2008
  41. Published

    Rationalizing global market anomalies

    Lohre, H., 22/10/2008, 106 p.

    Research output: ThesisDoctoral Thesis

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