momentum prediction has been proved, the predictors can be applied to momentum risk management. I introduce two new momentum … been used before. I then introduce a new method of momentum risk management that has a lower transaction cost than existing …

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which … are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of … and a risk-free asset. We provide a way to extend the concept of minimum-variance strategies in the context of short …

value-weighted momentum strategies go down from -49.79% to -11.36% and from -64.97% to -23.28%, while the Sharpe ratios are …

-term reversal strategies. The performance results are robust with respect to transaction costs and other real world frictions …

constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

non-financial companies listed on the Swiss Exchange for the period 2003-2016. The results show that firms held by a large … held by the founding family, the state or another financial company. Overall, the evidence suggests that large shareholders …

the ROE can be improved?6. The ROE depends on net profit margin, turnover of CE and financial leverage. When financial …