Portfolio rebalancing based on time series momentum and downside risk
Year of publication: |
2023
|
---|---|
Authors: | Guo, Xiaoshi ; Ryan, Sarah M. |
Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 34.2023, 2, p. 355-381
|
Subject: | time series momentum | mean-risk | risk parity | conditional value-at-risk | stochastic programming | scenario generation | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Momentenmethode | Method of moments | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Theorie | Theory |
-
Drawdown measures and return moments
Möller, Philipp M., (2018)
-
Profitability of time series momentum
He, Xue-zhong, (2015)
-
Mohabbati-Kalejahi, Nasrin, (2023)
- More ...
-
Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion
Guo, Xiaoshi, (2023)
-
Reliability assessment of scenarios generated for stock index returns incorporating momentum
Guo, Xiaoshi, (2020)
-
Towards a Systematic Understanding of Blockchain Governance in Proposal Voting : A Dash Case Study
Mosley, Lawrence, (2020)
- More ...