Portfolio rebalancing based on time series momentum and downside risk

DOI10.1093/IMAMAN/DPAB037OpenAlexW3216519749MaRDI QIDQ6157438

Xiaoshi Guo, Sarah M. Ryan

Publication date: 11 May 2023

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpab037

zbMATH Keywords

stochastic programmingmean-riskconditional value-at-riskscenario generationrisk paritytime series momentum

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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