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A risk management tool or an investment strategy? : understanding the unstable farm insurance demand via a gain-loss framework
Cao, Ying; Weersink, Alfons J.; Ferner, Emma - In: Agricultural and resource economics review : ARER 49 (2020) 3, pp. 410-436
Persistent link: https://www.econbiz.de/10012439473
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Optimal growth under loss aversion
Rosenblatt-Wisch, Rina - 2005
Persistent link: https://www.econbiz.de/10003317717
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Using asymmetric loss functions in time series econometrics
Titova, Anna - 2019
Persistent link: https://www.econbiz.de/10012021670
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Market volatility and momentum
Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91
Persistent link: https://www.econbiz.de/10011489219
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Market proxies as factors in linear asset pricing models : still living with the roll critique
Prono, Todd - In: Journal of empirical finance 31 (2015), pp. 36-53
Persistent link: https://www.econbiz.de/10011489332
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Forecasting the equity risk premium : the role of technical indicators
Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791
Persistent link: https://www.econbiz.de/10010399441
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Cross-sectional and time-series tests of return predictability : what is the difference?
Goyal, Amit; Jegadeesh, Narasimhan - 2015
We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...
Persistent link: https://www.econbiz.de/10011296939
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … liquid futures contracts and show that RAMOM strategies outperform the time series momentum (TSMOM) strategies of Ooi …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …
Persistent link: https://www.econbiz.de/10011293745
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Robust optimization of time series momentum portfolios
Fague, Jeremy; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 19 (2021) 1, pp. 52-69
Persistent link: https://www.econbiz.de/10012616154
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Intraday time series momentum : global evidence and links to market characteristics
Li, Zeming; Sakkas, Athanasios; Urquhart, Andrew - In: Journal of financial markets 57 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013188695