We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one … uncertainty with risk and return of stock trading. In terms of methodology, we show the effect that using an encompassing prior … better results in terms of profit per capital engagement and risk than using a standard linear normalization …