Portfolio rebalancing based on time series momentum and downside risk

DOI10.1093/IMAMAN/DPAB037MaRDI QIDQ6157438zbMATH OpenOpenAlexFDO

Authors Xiaoshi Guo, Sarah M. Ryan

Publication date 11 May 2023

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/imaman/dpab037

zbMATH Keywords

scenario generationmean-riskstochastic programmingconditional value-at-riskrisk paritytime series momentum

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

Cited in

(1)

• scientific article; zbMATH DE number 6955637 (Why is no real title available?)

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