Robust optimization of time series momentum portfolios
Year of publication: |
2021
|
---|---|
Authors: | Fague, Jeremy ; Almeida, Caio |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 19.2021, 1, p. 52-69
|
Subject: | Mean Variance | Momentum | Turnover | Regularization | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Momentenmethode | Method of moments | Robustes Verfahren | Robust statistics | Theorie | Theory | Volatilität | Volatility | Varianzanalyse | Analysis of variance |
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