Optimal Dynamic Momentum Strategies
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Publication:5106353
DOI10.1287/opre.2021.2254zbMath1500.91126OpenAlexW4212897224MaRDI QIDQ5106353
Publication date: 19 September 2022
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2021.2254
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Cites Work
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- Functional Itō calculus and stochastic integral representation of martingales
- Behavioral learning equilibria
- Momentum and Mean Reversion in Strategic Asset Allocation
- Evaluating Portfolio Policies: A Duality Approach
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Time to Build and Aggregate Fluctuations
- Predicting stock price movements from past returns: the role of consistency and tax-loss selling
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