Quantile momentum

DOI10.4310/SII.2008.v1.n2.a3zbMath1230.91193OpenAlexW4252066570MaRDI QIDQ660056

Yongchang Feng, Rong Chen, Gilbert W. jun. Bassett

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2008.v1.n2.a3

zbMATH Keywords

Sharpe ratiobeta-sensitive portfoliomomentum strategiesprice inefficiencyquantile momentum

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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