Asset allocation with time series momentum and reversal
Xue-Zhong He, Kai Li, Youwei Li
| Year of publication: |
June 2018
|
|---|---|
| Authors: | He, Xue-zhong ; Li, Kai ; Li, Youwei |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 91.2018, p. 441-457
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| Subject: | Momentum | Reversal | Optimal asset allocation | Performance | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Theorie | Theory | Investmentfonds | Investment Fund | Kapitalanlage | Financial investment | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2018.02.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974221