Optimal dynamic momentum strategies
Year of publication: |
2022
|
---|---|
Authors: | Li, Kai ; Liu, Jun |
Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 4, p. 2054-2068
|
Subject: | Financial Engineering | momentum | optimal portfolio | path dependence | Theorie | Theory | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Pfadabhängigkeit | Path dependence | Anlageverhalten | Behavioural finance | Dynamische Optimierung | Dynamic programming | Financial engineering |
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