Risks and rewards for momentum and reversal portfolios
Year of publication: |
August 2017
|
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Authors: | Li, Yuming |
Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 31.2017, 3, p. 289-315
|
Subject: | Conditional asset-pricing models | Multivariate GARCH-means model | Factor portfolios | Momentum and reversals | Theorie | Theory | Portfolio-Management | Portfolio selection | CAPM | Anlageverhalten | Behavioural finance | Kapitaleinkommen | Capital income | Schätzung | Estimation | Momentenmethode | Method of moments | Prognoseverfahren | Forecasting model |
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