Stop losses momentum strategy : from profit maximization to risk control under White's Bootstrap reality check
Tamara Teplova, Evgeniya Mikova, Nikolai Nazarov
| Year of publication: |
November 2017
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| Authors: | Teplova, Tamara V. ; Mikova, Evgeniya ; Nazarov, Nikolai |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 66.2017, p. 240-258
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| Subject: | Data-snooping | Momentum strategy | Russian stock market | White's Reality Check | Stationary bootstrap | Risk-return maximization | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Bootstrap-Verfahren | Bootstrap approach | Russland | Russia | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2017.03.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011792865