Asset allocation with time series momentum and reversal
Year of publication: |
June 2018
|
---|---|
Authors: | He, Xue-zhong ; Li, Kai ; Li, Youwei |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 91.2018, p. 441-457
|
Subject: | Momentum | Reversal | Optimal asset allocation | Performance | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Momentenmethode | Method of moments | Theorie | Theory | Anlageverhalten | Behavioural finance |
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