Essays about: "risk-managed momentum"
Found 5 essays containing the words risk-managed momentum.
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1. Hierarchical Clustering To Improve Portfolio Tail Risk Characteristics
University essay from Lunds universitet/Matematisk statistikAbstract : Many agree that estimating portfolio risks has better estimation possibilities, than estimations on returns. Therefore investors attempts to construct better, more efficient riskmanaged portfolios by diversifying portfolios through factors rather than traditional asset classes. READ MORE
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2. Avoiding crashes: Exploring risk-managed Momentum strategies
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : The momentum effect is a persistent and stable phenomenon, achieving very high abnormal returns, which could not yet be explained by conventional pricing models. However, this very high returns are punctuated by extreme strategy crashes leading to high losses, for which investors need decades to recover from. READ MORE
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3. Risk-Managed Momentum Strategy Using Support Vector Machines
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. READ MORE
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4. Risk-Managed Momentum in Europe
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis sets out to evaluate a risk-managed momentum strategy in the European stock market. The recent performance of momentum in Europe is first evaluated. A momentum premium still exists in Europe but the strategy suffered large losses in 2009. READ MORE
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5. Risk Managed Time Series Momentum
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. READ MORE