Optimal time series momentum

Xue-zhong He, Kai Li and Youwei Li

Year of publication:	2015
Authors:	He, Xue-zhong ; Li, Kai ; Li, Youwei
Publisher:	Sydney : Quantitative Finance Research Centre, Univ. of Techn.
Subject:	momentum, reversal \| portfolio choice \| optimality \| profitability \| Portfolio-Management \| Portfolio selection \| Zeitreihenanalyse \| Time series analysis \| Anlageverhalten \| Behavioural finance \| Theorie \| Theory \| Kapitaleinkommen \| Capital income \| Momentenmethode \| Method of moments \| Rentabilität \| Profitability \| Volatilität \| Volatility

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