Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate
Xu Wu, Kun Wang, Linlin Zhang and Chong Peng
| Year of publication: |
2023
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| Authors: | Wu, Xu ; Wang, Kun ; Zhang, Linlin ; Peng, Chong |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 5, p. 687-704
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| Subject: | asymmetric power-law distribution | fractal expectation | fractal variance | momentum strategy | risk-adjusted momentum strategy | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Theorie | Theory | Anlageverhalten | Behavioural finance | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2022-0020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014506859