Asset management - Momentum trading:'skews me - An attractive characteristic of momentum strategies is that they generate a distribution of trading returns that is positively skewed. This can mean fewer winning than losing trades, but still positive expected returns. The author derives explicit formulas for the skewness of the trading returns, for certain simple types of model, and shows it has a ...
Year of publication: |
2012
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Authors: | Martin, Richard |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 25.2012, 8, p. 40-46
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