a continuous portfolio choice model, in which stock returns exhibit both momentum and mean reversion, DC plan members … candidate and we show how a DC plan investor can benefit from market opportunities by taking advantage of the momentum and mean …

This paper analyses the impact of industrial diversification on the profitability of contrarian and momentum strategies …. Our findings show that the momentum strategy seems to be no more profitable in the recent years. In fact, while momentum … momentum effect for the non -diversified sample. After the crash, we identify a contrarian effect more important for this …

higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …

This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for … the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest …

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage … models, which present arbitrage opportunities in the absence of fixed costs.In particular, we prove that the quite striking … result obtained by Dybvig, Ingersoll and Ross (1996), which asserts that, under the assumption of absence of arbitrage, long …

commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices of the underlying …