Risk adjusted momentum strategies : a comparison between constant and dynamic volatility scaling approaches
Minyou Fan, Youwei Li, Jiadong Liu
| Year of publication: |
December 2018
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|---|---|
| Authors: | Fan, Minyou ; Li, Youwei ; Liu, Jiadong |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 46.2018, p. 131-140
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| Subject: | Cross-sectional momentum | Time series momentum | Momentum crashes | Volatility scaling | Volatilität | Volatility | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Momentenmethode | Method of moments | Anlageverhalten | Behavioural finance | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Börsenkurs | Share price | Schätzung | Estimation | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2017.12.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011983588