Portfolio rebalancing based on time series momentum and downside risk

DOI10.1093/IMAMAN/DPAB037OpenAlexW3216519749MaRDI QIDQ6157438FDOQ6157438

Authors: Xiaoshi Guo, Sarah M. Ryan 

Publication date: 11 May 2023

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

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)

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