On the Profitability of Momentum Strategies and Optimal Leverage Rules
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More about this item
Keywords
Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout strategies; Optimal fraction criterion; Time series momentum;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G40 - Financial Economics - - Behavioral Finance - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2020-05-18 (Financial Markets)
- NEP-RMG-2020-05-18 (Risk Management)
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