The previous literature on momentum investments has only considered the so called unconstrained momentum return. This paper will investigate budget constrained momentum returns by using two different datasets. The conclusion is that unconstrained momentum returns systematically overestimate the...

Trend following strategies have the reputation of being the holy grail of investment. This paper investigates the trend following strategy both from a theoretical and empirical perspective. This article also discusses conditional expected return and the drawdown with Value at Risk (VaR). VaR...

The purpose of this study is to discuss portfolio theory. More specifically how an investor can maximize a portfolio's expected return while at the same time trying to minimize portfolio risk. This will be done by looking at both international and Kuwaiti stock market data. One important...

We will in this paper investigate if a Tactic Asset Allocation (TAA) decision tool such as the slope of a moving average on the asset return will result in a statistical higher profit for an investor compared to a simple random investment strategy. The result indicates that a moving average...