Active momentum trading versus passive ‘ naive diversification’

DOI10.1080/14697688.2013.766760zbMath1281.91139OpenAlexW3124719180MaRDI QIDQ5397408

Chi-Hsiou D. Hung, Anurag N. Banerjee

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.766760

zbMATH Keywords

portfolio strategies\(1/n\) naive diversificationactive momentum tradingaverage profits

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• When does the expectation of a ratio equal the ratio of expectations?
• Common risk factors in the returns on stocks and bonds

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