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 …