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Generalized Momentum and Flexible Asset Allocation (FAA) : An Heuristic Approach

Keller, Wouter J. - 2015

In this paper we extend the timeseries momentum (or trendfollowing) model towards a generalized momentum model, called Flexible Asset Allocation (FAA). This is done by adding new momentum factors to the traditional momentum factor R based on the relative returns among assets. These new factors...

Persistent link: https://www.econbiz.de/10013036125

Empirical behavioral finance : editorial

Kliger, Doron; Assem, Martijn J. van den; Zwinkels, … - In: Journal of economic behavior & organization : JEBO 107 (2014) 2, pp. 421-427

Persistent link: https://www.econbiz.de/10011294411

How should individual investors diversify? : an empirical evaluation of alternative asset allocation policies

Jacobs, Heiko; Müller, Sebastian; Weber, Martin - In: Journal of financial markets 19 (2014), pp. 62-85

Persistent link: https://www.econbiz.de/10010442420

Do heterogeneous beliefs diversify market risk?

Chiarella, Carl; Dieci, Roberto; He, Xue-zhong - In: The European journal of finance 17 (2011) 3/4, pp. 241-258

Persistent link: https://www.econbiz.de/10009155404

Averaging across asset allocation models

Schanbacher, Peter - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 1, pp. 61-81

Persistent link: https://www.econbiz.de/10011430243

Investment innovation trends : factor-based investing

Centineo, Sanja; Centineo, Santo - In: Serbian journal of management : an international … 12 (2017) 1, pp. 65-75

This article shows that it can take a long period of time until research knowledge finds its application in practice and get disseminated as innovation trend. Factor-based investing is such an example. Having its developing roots in the nineties, it took more than two decades until this approach...

Persistent link: https://www.econbiz.de/10011658838

Impending doom : the loss of diversification before a crisis

Yang, Libin; Rea, William; Rea, Alethea - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-13

We present four methods of assessing the diversification potential within a stock market, and two of these are based on … consistent picture. The potential for diversification declined almost monotonically in the three years prior to the 2008 …, the diversification potential declined even further in the 2011 European debt crisis and the American credit downgrade. …

Persistent link: https://www.econbiz.de/10011760308

Economic value of portfolio diversification : evidence from international multi-asset portfolios

Sharma, Prateek - In: Theoretical and applied economics : GAER review 24 (2017) 4, pp. 33-42

Persistent link: https://www.econbiz.de/10011795186

Ambiguity preferences and portfolio choices : evidence from the field

Bianchi, Milo; Tallon, Jean-Marc - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1486-1501

Persistent link: https://www.econbiz.de/10012022635

A diversification framework for multiple pairs trading strategies

Lee, Kiseop; Leung, Tim; Ning, Boming - In: Risks : open access journal 11 (2023) 5, pp. 1-18

diversification within our proposed framework. …

Persistent link: https://www.econbiz.de/10014333526