Arendarski, Piotr; Misiewicz, Paweł; Nowak, Mariusz; … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014
In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct optimal portfolio and is based on close examination of asset’s returns distribution. GMAA tries to capture certain market phenomena and use information they contain as predictors...