Portfolio rebalancing based on time series momentum and downside risk (Q6157438)
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scientific article; zbMATH DE number 7684713
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| English | Portfolio rebalancing based on time series momentum and downside risk |
scientific article; zbMATH DE number 7684713 |
Statements
Portfolio rebalancing based on time series momentum and downside risk (English)
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11 May 2023
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time series momentum
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mean-risk
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risk parity
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conditional value-at-risk
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stochastic programming
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scenario generation
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