Narrow search
Showing 1 - 4 of 4
Cover Image
Portfolio Symmetry and Momentum
Billio, Monica; Calès, Ludovic; Guegan, Dominique - HAL - 2009
investment policy similar to the Jeegadeesh and Titman's momentum strategy [JT1993]. We define the optimal dynamic portfolio as … spectral distribution. We found then that the strategy symmetry is a source of momentum. …
Persistent link: https://www.econbiz.de/10010738666
Cover Image
What should investors know about the stability of momentum investing and its riskiness? The case of the Australian Security Exchange
Galariotis, Emilios - HAL - 2010
This paper investigates Australian momentum strategies and their performance stability separately employing two samples … transaction intensive strategies, non-overlapping portfolios are employed. Results show that momentum performance is not sample …
Persistent link: https://www.econbiz.de/10010820559
Cover Image
Portfolio Symmetry and Momentum
Billio, Monica; Calès, Ludovic; Guegan, Dominique - HAL - 2011
investment policy similar to the Jeegadeesh and Titman's momentum strategy [JT1993]. We define the optimal dynamic portfolio as … spectral distribution. We found then that the strategy symmetry is a source of momentum. …
Persistent link: https://www.econbiz.de/10010635094
Cover Image
Cross-Sectional Analysis through Rank-based Dynamic Portfolios
Billio, Monica; Calès, Ludovic; Guegan, Dominique - HAL - 2012
The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the...
Persistent link: https://www.econbiz.de/10010635249