Asset allocation with time series momentum and reversal (Q1657387): Difference between revisions

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+MaRDI publication profile
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+W2589169537
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+Consumption and Portfolio Decisions when Expected Returns are Time Varying
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+Maximum principle for the stochastic optimal control problem with delay and application
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+The dynamics of speculative behaviour
@@ Property / cites work: The dynamics of speculative behaviour / rank @@
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+An evolutionary CAPM under heterogeneous beliefs
@@ Property / cites work: An evolutionary CAPM under heterogeneous beliefs / rank @@
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+A dynamic analysis of moving average rules
@@ Property / cites work: A dynamic analysis of moving average rules / rank @@
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+A variational problem arising in financial economics
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+Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
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+Momentum and Mean Reversion in Strategic Asset Allocation
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+Optimum consumption and portfolio rules in a continuous-time model
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+Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
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+Publication:1657387