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Momentum and Mean Reversion in Strategic Asset Allocation

Citations

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Cited by:

  1. Ramaprasad Bhar & A. G. Malliaris, 2016. "Asset price momentum and monetary policy: time-varying parameter estimation of Taylor Rules," Applied Economics, Taylor & Francis Journals, vol. 48(55), pages 5329-5339, November.
  2. Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Wu, Hui & Ma, Chaoqun & Yue, Shengjie, 2017. "Momentum in strategic asset allocation," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 115-127.
  4. Chen, Xingjiang & Ruan, Xinfeng & Zhang, Wenjun, 2021. "Dynamic portfolio choice and information trading with recursive utility," Economic Modelling, Elsevier, vol. 98(C), pages 154-167.
  5. Anna Battauz & Alessandro Sbuelz, 2018. "Non†myopic portfolio choice with unpredictable returns: The jump†to†default case," European Financial Management, European Financial Management Association, vol. 24(2), pages 192-208, March.
  6. John B. Donaldson & Rajnish Mehra, 2021. "Average crossing time: An alternative characterization of mean aversion and reversion," Quantitative Economics, Econometric Society, vol. 12(3), pages 903-944, July.
  7. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
  8. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
  9. Zhang, Yugui & Zhu, Jie & Zhu, Xiaoneng, 2020. "Investing for the long run when expected equity premium is nonnegative," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
  10. Thiago Christiano Silva & Benjamin Miranda Tabak & Idamar Magalhães Ferreira, 2019. "Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies," Complexity, Hindawi, vol. 2019, pages 1-14, December.
  11. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
  12. Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol, 2015. "Quantile cointegration in the autoregressive distributed-lag modeling framework," Journal of Econometrics, Elsevier, vol. 188(1), pages 281-300.
  13. Anna Battauz & Marzia Donno & Alessandro Sbuelz, 2017. "Reaching nirvana with a defaultable asset?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 31-52, November.
  14. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(1), pages 27-53, April.
  15. Cumming, Douglas & Helge Haß, Lars & Schweizer, Denis, 2013. "Private equity benchmarks and portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3515-3528.
  16. Hasler, Michael & Ornthanalai, Chayawat, 2018. "Fluctuating attention and financial contagion," Journal of Monetary Economics, Elsevier, vol. 99(C), pages 106-123.
  17. Hilal Anwar Butt & James W. Kolari & Mohsin Sadaqat, 2024. "Market volatility, momentum, and reversal: a switching strategy," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 460-478, September.
  18. Nasini, Stefano & Labbé, Martine & Brotcorne, Luce, 2022. "Multi-market portfolio optimization with conditional value at risk," European Journal of Operational Research, Elsevier, vol. 300(1), pages 350-365.
  19. Zunera Shaukat & Ahmad Shahzad, 2019. "Impact of Portfolio Strategies on Portfolio Performance and Risk," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 10(1), pages 73-86, January.
  20. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  21. Akarim, Yasemin Deniz & Sevim, Serafettin, 2013. "The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets," Economic Modelling, Elsevier, vol. 31(C), pages 453-459.
  22. He, Xue-Zhong & Li, Kai & Li, Youwei, 2018. "Asset allocation with time series momentum and reversal," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 441-457.
  23. David W. Lehman & Jungpil Hahn, 2013. "Momentum and Organizational Risk Taking: Evidence from the National Football League," Management Science, INFORMS, vol. 59(4), pages 852-868, April.
  24. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
  25. Xiaoshi Guo & Sarah M. Ryan, 2021. "Reliability assessment of scenarios generated for stock index returns incorporating momentum," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4013-4031, July.
  26. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
  27. Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
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