Reliability assessment of scenarios generated for stock index returns incorporating momentum
Year of publication: |
2020
|
---|---|
Authors: | Guo, Xiaoshi ; Ryan, Sarah M. |
Published in: |
International Journal of Finance & Economics. - Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 26.2020, 3 (14.08.), p. 4013-4031
|
Publisher: |
Wiley |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Portfolio rebalancing based on time series momentum and downside risk
Guo, Xiaoshi, (2023)
-
Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion
Guo, Xiaoshi, (2023)
-
Portfolio rebalancing based on time series momentum and downside risk
Guo, Xiaoshi, (2021)
- More ...