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Markowitz meets technical analysis : building optimal portfolios by exploiting information in trend-following signals
Santos, André A. P.; Torrent, Hudson S. - In: Finance research letters 49 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10013478652
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Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization
Turatti, Douglas Eduardo; Mendes, Fernando Henrique de … - In: Finance research letters 34 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012436908
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Solving the index tracking problem based on a convex reformulation for cointegration
Sant'Anna, Leonardo Riegel; Oliveira, Alan Delgado de; … - In: Finance research letters 37 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012484879