Reward-risk momentum strategies using classical tempered stable distribution
Jaehyung Choi, Young Shin Kim, Ivan Mitov
| Year of publication: |
September 2015
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|---|---|
| Authors: | Choi, Jaehyung ; Kim, Young Shin ; Mitov, Ivan |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 58.2015, p. 194-213
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| Subject: | Momentum strategy | Reward-risk measure | Classical tempered stable distribution | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.05.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011543976