Sökning: "Sutian Ming"

Hittade 1 uppsats innehållade orden Sutian Ming.

  1. 1. Risk Managed Time Series Momentum

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Sutian Ming; Richard Eidestedt; [2015]
    Nyckelord :momentum crash; time series momentum; time-varying risk; optionality;

    Sammanfattning : 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. LÄS MER