In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...

Using time-series trends of a set of firms' major fundamentals, we find that there is a fundamentalmomentum in the stock market. Buying stocks in the top quintile of fundamental trends and selling stocks in the bottom quintile earns a monthly average return of 0.88%, whose magnitude is...

While common machine learning algorithms focus on minimizing the mean-square errors of model fit, we show that genetic programming, GP, is well-suited to maximize an economic objective, the Sharpe ratio of the usual spread portfolio in the cross-section of expected stock returns. In contrast to...

For the popular mean-variance portfolio choice problem in the case without a risk-free asset, we develop a new portfolio strategy to mitigate estimation risk. We show that in both calibrations and real datasets, optimally combining the sample global minimum variance portfolio with a sample...