Portfolio rebalancing based on time series momentum and downside risk
Xiaoshi Guo and Sarah M. Ryan
| Year of publication: |
2023
|
|---|---|
| Authors: | Guo, Xiaoshi ; Ryan, Sarah M. |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 34.2023, 2, p. 355-381
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| Subject: | time series momentum | mean-risk | risk parity | conditional value-at-risk | stochastic programming | scenario generation | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Risikomanagement | Risk management | Momentenmethode | Method of moments | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpab037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014313747