Similar Search Results

Reversing momentum : the optimal dynamic momentum strategy

Li, Kai; Liu, Jun - 2016

Persistent link: https://www.econbiz.de/10011777992

What can rational investors do about excessive volatility and sentiment fluctuations?

Dumas, Bernard (contributor); Kurshev, Alexander (contributor) - 2005

Persistent link: https://www.econbiz.de/10003726455

Dynamic consumption and asset allocation with derivative securities

Hsuku, Yuan-Hung - In: Quantitative fund management, (pp. 43-66). 2009

Persistent link: https://www.econbiz.de/10003796940

Volatility-induced financial growth

Dempster, Michael A. H.; Evstigneev, Igor V.; … - In: Quantitative fund management, (pp. 67-84). 2009

Persistent link: https://www.econbiz.de/10003796944

Dynamic asset allocation and consumption choice in incomplete markets

Stoikov, Sasha F.; Zariphopoulou-Souganidis, Thaleia - In: Australian economic papers 44 (2005) 4, pp. 414-454

Persistent link: https://www.econbiz.de/10003237011

What can rational investors do about excessive volatility and sentiment fluctuations?

Dumas, Bernard (contributor); Kurshev, Alexander (contributor) - 2005

;excessivequot; stock price volatility and quot;sentimentquot; fluctuations. We construct a general equilibrium model of sentiment. In it … that rational investors can do optimally to exploit, and hence, eliminate excessive volatility, except in the very long run.quot …