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Asset allocation, multivariate position based trading, and the stylized facts

Pape, Bernd - 2007

Persistent link: https://www.econbiz.de/10003610753

Asset allocation and multivariate position based trading

Pape, Bernd - In: Journal of economic interaction and coordination : JEIC 2 (2007) 2, pp. 163-193

Persistent link: https://www.econbiz.de/10003580915

Momentum and Reversal Dynamics

Kolari, James W. - 2019

This paper studies the joint dynamics of momentum and reversal strategies in the U.S. stock market. Momentum investors face uncertainty about whether past patterns of price movements will continue (momentum) or reverse, thereby increasing volatilities of momentum returns and occasionally leading...

Persistent link: https://www.econbiz.de/10012896774

Momentum and reversal : information from prior returns

Kolari, James W.; Shin, Sang-Ook - In: Applied economics 56 (2024) 3, pp. 318-336

Persistent link: https://www.econbiz.de/10014439916

Market volatility, momentum, and reversal : a switching strategy

Butt, Hilal Anwar; Kolari, James W.; Sadaqat, Mohsin - In: The journal of asset management : a major new, … 25 (2024) 5, pp. 460-478

Persistent link: https://www.econbiz.de/10015192322

Man versus machine : on artificial intelligence and hedge funds performance

Grobys, Klaus; Kolari, James W.; Niang, Joachim - In: Applied economics 54 (2022) 40, pp. 4632-4646

Persistent link: https://www.econbiz.de/10013411004

Revisiting momentum profits in emerging markets

Butt, Hilal Anwar; Kolari, James W.; Sadaqat, Mohsin - In: Pacific-Basin finance journal 65 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013209669

Factor momentum, option-implied volatility scaling, and investor sentiment

Grobys, Klaus; Kolari, James W.; Rutanen, Jere - In: The journal of asset management : a major new, … 23 (2022) 2, pp. 138-155

Persistent link: https://www.econbiz.de/10013171033

Professional Investment Portfolio Management : Boosting Performance with Machine-Made Portfolios and Stock Market Evidence

Kolari, James W.; Liu, Wei; Pynnönen, Seppo - 2023

Part I: Introduction -- Chapter 1: Portfolio Theory and Practice -- Part II: Previous Asset Pricing Models -- Chapter 2: General Equilibrium Asset Pricing Models -- Chapter 3: Multifactor Asset Pricing Models -- Part III: The ZCAPM -- Chapter 4: A New Asset Pricing Model: The ZCAPM -- Chapter 5:...

Persistent link: https://www.econbiz.de/10014467008