David Blitz
David Blitz is Managing Director and Chief Researcher at Robeco. He joined Robeco in 1995 after graduating cum laude in econometrics at Erasmus University in Rotterdam. In 2011 he obtained a Ph.D. in empirical finance from the same university. David has been instrumental in the design and development of Robeco’s quantitative equity strategies. As a spin-off of his research, he has published dozens of papers in peer-reviewed academic journals, such as Journal of Empirical Finance, Journal of Portfolio Management and European Financial Management.
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Articles by David Blitz
Shrinking beta
The authors shrink correlation and volatility separately and evaluate the predictive power of this approach, finding economically and statistically significant gains from applying more shrinkage to correlations than to volatilities.