option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …

signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the … slower mean reversion (alpha decay) get more weight in the aim portfolio. We implement the optimal strategy for commodity …

formalize this cognitive bias in a simple model of distorted Bayesian updating. We then examine strategy changes made by … professional football coaches. We find they are more likely to revise their strategy after a loss than a win -- even for narrow … expected, and the offensive strategy is revised even when failure is attributable to the defense. These results are consistent …

strategy are common across the two models: In particular, highly inertial interest rate rules that respond to nominal income or …