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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 … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

Persistent link: https://www.econbiz.de/10011293745

Zeitparametervariable Analyse und Visualisierung von Finanzdaten : Methoden der Investmentprozessbegleitung fondsgebundener Anlageformen

Schelwies, Norman - 2008 - 1. Aufl.

Viele aktive Entscheidungen bei der Anlage in Wertpapieren werden auf Basis von Informationen getroffen, die mit Hilfe empirischer Analysen historischer Finanzdaten gewonnen wurden. Leider sind die meisten Ergebnisse dieser Analysen sehr anfällig gegenüber einer Änderung der Zeitparameter,...

Persistent link: https://www.econbiz.de/10003678800

Optimal time series momentum

He, Xue-zhong; Li, Kai; Li, Youwei - 2015

Persistent link: https://www.econbiz.de/10011344325

Measuring the speed of convergence of stock prices : a nonparametric and nonlinear approach

Kim, Hyeongwoo; Ryu, Deockhyun - In: Economic modelling 51 (2015), pp. 227-241

Persistent link: https://www.econbiz.de/10011475887

Asset Allocation with Time Series Momentum and Reversal

He, Xuezhong - 2017

To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with...

Persistent link: https://www.econbiz.de/10012962880