Optimal allocation to time-series and cross-sectional momentum
Olivier Schmid and Patrick Wirth
| Year of publication: |
2021
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|---|---|
| Authors: | Schmid, Olivier ; Wirth, Patrick |
| Published in: |
The journal of portfolio management : JPM. - London : IPR Journals, ISSN 2168-8656, ZDB-ID 2046318-2. - Vol. 47.2021, 4, multi-asset special issue, p. 160-179
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| Subject: | Quantitative methods | statistical methods | portfolio construction | performance measurement | Portfolio-Management | Portfolio selection | Statistische Methode | Statistical method | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Performance-Messung | Performance measurement | Kapitaleinkommen | Capital income | Momentenmethode | Method of moments |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jpm.2021.1.213 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486058