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Books on the topic 'Momentum portfolios'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Gatev, Evan G. Rebels, conformists, contrarians and momentum traders. National Bureau of Economic Research, 2000.

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2

Ang, Andrew. Downside risk and the momentum effect. National Bureau of Economic Research, 2001.

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3

Jegadeesh, Narasimhan. Profitability of momentum strategies: An evaluation of alternative explanations. National Bureau of Economic Research, 1999.

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4

Nielsen, Lars Tyge. Portfolio selection and asset pricing with dynamically incomplete markets and time-varying first and second moments. INSEAD, 1997.

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5

Nielsen, L. Portfolio selection and asset pricing with dynamically incomplete markets and time-varying first and second moments. INSEAD, 1997.

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6

Nielsen, Lars Tyge. Portfolio selection with randomly time-varying first and second moments: The role of the instantaneous capital market line. 2nd ed. INSEAD, 1998.

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7

Chabi-Yo, Fousseni. The stochastic discount factor: Extending the volatility bound and a new approach to portfolio selection with higher-order moments. Bank of Canada, 2005.

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8

Back, Kerry E. Factor Models. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0006.

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The CAPM and factor models in general are explained. Factors can be replaced by the returns or excess returns that are maximally correlated (the projections of the factors). A factor model is equivalent to an affine representation of an SDF and to spanning a return on the mean‐variance frontier. The use of alphas for performance evaluation is explained. Statistical factor models are defined as models in which factors explain the covariance matrix of returns. A proof is given of the Arbitrage Pricing Theory, which states that statistical factors are approximate pricing factors. The CAPM and the

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9

Martelli, Duccio. The Psychology of Traders. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190269999.003.0011.

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In recent decades, trading has become very popular among retail investors, mainly owing to widespread use of technology and a reduction in transaction costs. However, the growing information available to individuals and the higher complexity of financial markets have led investors to make psychological mistakes more easily. This chapter describes the main types of behavioral bias that affect individual investors, especially retail traders who frequently churn their portfolios. The chapter compares momentum and contrarian trading strategies used by such traders. It also discusses the impact of

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10

Henning, Grant. Value and Momentum Trader: Dynamic Stock Selection Models to Beat the Market. Wiley & Sons, Incorporated, John, 2009.

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11

Henning, Grant. Value and Momentum Trader: Dynamic Stock Selection Models to Beat the Market. Wiley & Sons, Incorporated, John, 2009.

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12

Henning, Grant. Value and Momentum Trader: Dynamic Stock Selection Models to Beat the Market. Wiley & Sons, Limited, John, 2015.

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13

Henning, Grant. Value and Momentum Trader: Dynamic Stock Selection Models to Beat the Market. Wiley & Sons, Incorporated, John, 2009.

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14

Henning, Grant. Value and Momentum Trader: Dynamic Stock Selection Models to Beat the Market. Wiley & Sons, Incorporated, John, 2009.

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15

Dorazio, Sante. Portfolio: Private Moments (Bibliothek Der Fotografie Number 18). Te Neues Publishing Company, 2000.

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16

Kinkade, Thomas. Autumn Moments Portfolio Print 9 1/4x19 1/4. Media Arts Group, 1998.

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17

Back, Kerry E. Learning. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0023.

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Continuous‐time filtering is explained, including the Kalman filter and filtering for a Markov chain with hidden states. Filtering theory is applied to analyze portfolio choice and equilibrium asset prices. When the expected return of an asset is unknown and is estimated from past returns, the myopic demand is a momentum strategy. When investors learn expected consumption growth from realized consumption growth, equilibrium prices are more sensitive to consumption shocks and the equity premium is higher. When the consumption growth rate follows a Markov chain with hidden states, return volatil

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18

Simsek, Koray D. Commodity Trading Advisors and Managed Futures. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190656010.003.0012.

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Managed futures strategies provide investors with a dynamic exposure to commodities. Among other ways of investing in them, commodity trading advisors (CTAs) have become synonymous with this asset class, as they provide professional money management services using derivatives markets either in a pooled or individual setting. Most managed futures strategies display trend-following and momentum-type systematic trading features, which result in adopting a long-short portfolio approach. This chapter explains the characteristics and the growth of this commodity investing industry and provides an ex

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19

Horne, Gerald. Red Scare Rising. University of Illinois Press, 2018. http://dx.doi.org/10.5406/illinois/9780252041198.003.0006.

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This chapter explores how Claude Barnett took a position as a kind of consultant with the U.S. Department of Agriculture (USDA) in Washington in 1942. At once the position brought him into closer contact with policymakers at a fraught moment and exposed him to a business—agriculture—that was ubiquitous globally. Moreover, part of his portfolio was arranging for the importation of labor from the Caribbean to plantations in Florida, which provided him with more contacts in a region where he already had established a toehold, specifically in Haiti. This then created a further opening for him to c

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20

Hull, Kevin. Sports Broadcasting. Human Kinetics, 2022. http://dx.doi.org/10.5040/9781718235946.

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With the thrill of the game and the excitement of documenting captivating moments for sports history, sports broadcasting is one of the most desired jobs among sports and journalism professionals. Designed to provide students with the skills to be successful in their careers, Sports Broadcasting is a comprehensive look at the field, with coverage of all aspects of the job that an entry-level sports broadcaster will need to know about. The text begins with the history and background of the sports broadcasting industry. Students will next learn about modern topics that are critical in the busine

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21

Davis, Jenny B. Style Wise. 3rd ed. Bloomsbury Publishing Inc, 2024. http://dx.doi.org/10.5040/9781501392405.

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Style Wise: A Practical Guide to Becoming a Fashion Stylist, Third Edition is an essential text for turning aspiring stylists into professional stylists. The text presents fashion styling as a form of communication that can both support and challenge social norms such as beauty standards and gender roles. Full-color photos and examples from the runway reflect the fast-paced, vibrant fashion industry and cover topics including photo shoots, fashion shows, and special events. Step-by-step instructions guide readers through crucial areas like business basics, establishing a social media presence,

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