Hedging the time-varying risk exposures of momentum returns
Year of publication: |
2014
|
---|---|
Authors: | Martens, Martin ; Oord, Arco van |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 28.2014, p. 78-89
|
Subject: | Momentum | Hedging | Conditional factor model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Portfolio-Management | Portfolio selection | CAPM | Volatilität | Volatility |
-
The conditional volatility premium on currency portfolios
Byrne, Joseph P., (2021)
-
Size, value, and momentum in international stock returns
Fama, Eugene F., (2012)
-
Novy-Marx, Robert, (2012)
- More ...
-
Robust optimization of the equity momentum strategy
Oord, Arco van, (2009)
-
Robust optimization of the equity momentum strategy
Oord, Arco van, (2009)
-
Robust Optimization of the Equity Momentum Strategy
Oord, Arco van, (2009)
- More ...