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Johansson, Kristoffer Kittilsen - 2013

portfolios based on momentum, equal risk budget, and equal weights have relatively lower capacities. We further re-weight these …

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Faninam, Farzan; Huisman, Kuno J. M.; Kort, Peter M. - In: European journal of operational research : EJOR 308 (2023) 2, pp. 897-911

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Wu, Cheng-hung; Chuang, Ya-tang - In: European journal of operational research : EJOR 207 (2010) 2, pp. 1002-1013

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Ray, Pritee; Jenamani, Mamata - In: European journal of operational research : EJOR 250 (2016) 2, pp. 679-689

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Guiotto, Paolo; Roncoroni, Andrea - In: Frontiers in supply chain finance and risk management, (pp. 19-43). 2023

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Ivashchenko, Alexey; Kosowski, Robert L. - 2023

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Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087

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Polemarchakis, Heraklis M.; Selden, Larry; Song, Xinxi - 2017

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Markle, Alex B.; Rottenstreich, Yuval - In: Management science : journal of the Institute for … 64 (2018) 12, pp. 5846-5959

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De Giorgi, Enrico - 2002

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