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Pinelis, Michael; Ruppert, David - In: The Journal of finance and data science : JFDS 8 (2022), pp. 35-54

the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are … including payout yields. The second is used to estimate the prevailing volatility. Reward-risk timing with machine learning … presents a unifying framework for machine learning applied to both return- and volatility-timing. …

Persistent link: https://www.econbiz.de/10014433682

The real-life performance of market timing with moving average and time-series momentum rules

Zakamulin, Valeriy - In: The journal of asset management 15 (2014) 4, pp. 261-278

Persistent link: https://www.econbiz.de/10010476240

Essays on empirical asset pricing and investor behavior

Westheide, Christian - 2011

Persistent link: https://www.econbiz.de/10009412402

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234