Asset allocation with time series momentum and reversal

DOI10.1016/j.jedc.2018.02.004zbMath1401.91518OpenAlexW2589169537MaRDI QIDQ1657387

Kai Li, Xue-Zhong He, Youwei Li

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://pure.qub.ac.uk/en/publications/asset-allocation-with-time-series-momentum-and-reversal(14818bd0-e9ef-49cc-9842-880489cf5df4).html

zbMATH Keywords

performancemomentumoptimal asset allocationreversal

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Economic growth models (91B62) Portfolio theory (91G10)

Related Items (8)

Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ Time-varying economic dominance in financial markets: A bistable dynamics approach ⋮ A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market ⋮ Time to build and bond risk premia ⋮ Time to build and bond risk premia ⋮ Nonlinear effect of sentiment on momentum ⋮ Portfolio selection with inflation-linked bonds and indexation lags ⋮ Momentum and the cross-section of stock volatility

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
• An evolutionary CAPM under heterogeneous beliefs
• The dynamics of speculative behaviour
• A variational problem arising in financial economics
• A dynamic analysis of moving average rules
• Maximum principle for the stochastic optimal control problem with delay and application
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Momentum and Mean Reversion in Strategic Asset Allocation
• Consumption and Portfolio Decisions when Expected Returns are Time Varying

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