Relevant bibliographies by topics / Momentum portfolios / Dissertations / Theses
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Dissertations / Theses on the topic 'Momentum portfolios'

Author: Grafiati
Published: 3 June 2025
Last updated: 31 July 2025

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1

Yates, Marinus. "Fundamental momentum as an investment timing indicator for value portfolios." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/23068.

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The problem associated with value shares is that they may remain undervalued for an extended period of time. Therefore, determining when to buy value shares has been the focus of many investors and academics. Studies have determined fundamentals provide valuable information when selecting shares while price momentum provides a decent timing indicator. This research examines a novel share selection approach which seeks to combine fundamentals with momentum to obtain a leading timing indicator.This research seeks to determine if the fundamental momentum indicator can successfully and consistentl
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2

Li, Yao. "Examination of long-run performance of momentum portfolios: Implications for the sources and profitability of momentum." Diss., Virginia Tech, 2019. http://hdl.handle.net/10919/93958.

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This dissertation investigates the long-term performance of momentum portfolios. Its results show striking asymmetries for winners and losers and imply potentially different causes for the winner and loser components of momentum. After separately examining winners and losers relative to their respective benchmark portfolios with no momentum, we find winner momentum is smaller in magnitude, persists only for six months, and its higher return fully reverses. This is consistent with the notion that winner momentum is an overreaction to positive news and potentially destabilizing. Loser momentum i
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3

Schmitz, John J. "The multifactor risk, performance, and predictability of size, value, and momentum portfolios." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq28521.pdf.

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4

Segeritz, John R. "On front-running momentum and portfolio optimization." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/25078.

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Most of the empirical research on momentum in finance has been conducted using monthly data and horizons for the formation and holding period of winner and loser portfolio. This research paper studies momentum using a weekly approach and examines strategies that are more flexible than the crowded month-end approach. In particular, this paper is interested in analyzing the legal front-running of month-end momentum strategies by one to five weeks. Furthermore this study analyzes how momentum profits change by using different start dates within a month ("week-effect") as well as within a year ("m
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5

Schoeman, Cornelius Etienne. "Enhancing a value portfolio with price acceleration momentum." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22827.

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Value shares are notorious for remaining stagnant for extended periods of time, forcing value investors to remain locked in their investments often for excessive periods. This research study applied the price acceleration momentum indicator of Bird and Casavecchia (2007) on a value portfolio with the objective of improving the timing of value share acquisitions.A time series study was conducted, taking into account the top 160 JSE shares over the period 1 January 1985 to 31 August 2012. A price acceleration momentum indicator was applied to enhance a value portfolio formed on the basis of book
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6

Gao, Yang. "Momentum, Market States and Downside Risk." Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/20149.

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This thesis investigates momentum trading strategies during times of market turbulence. Momentum strategies have been shown to be profitable during multiple time periods in various equity markets and across different asset classes. However, one issue that momentum strategies face is the limited profitability during market downturns and the vulnerability to crashes. Another practical issue for momentum is the regulations on the short-side of its strategy during extreme economic conditions. As such, it is crucial to investigate and accurately interpret what drives momentum according to its vulne
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7

Ericsson, Anton, and Anton Erickson. "Does the Active Country Momentum Portfolio Beat the Passive Market Portfolio? : an empirical study on exchange-traded funds." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-89230.

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The thesis examines the strategy of country momentum and is evaluated with 30 different country exchange-traded funds (ETFs) for the period 1996-2018. The empirical evaluation is designed to apply different formation- and holding periods with overlapping portfolios. The results show positive momentum returns in various periods and a few portfolios present a higher average return than the market. However, none of the portfolios is presenting any significant positive returns or alphas, meaning that the three hypotheses cannot be rejected. On the other hand, some portfolios have higher Sharpe rat
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8

Deinwallner, Ulrich Roger. "Adjusting the Momentum Strategy for Small Investors." ScholarWorks, 2019. https://scholarworks.waldenu.edu/dissertations/6782.

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Researchers recommended investing according to the long only momentum (MOM) strategy to generate excess returns for private investors. The general problem of this study was that it was unclear when to enter and when to exit declining financial markets to avoid larger losses and to improve the overall performance with the MOM strategy. Therefore, it was important to understand the influence of a timing indicator on the MOM strategy. The purpose of this study was to examine the relationship between different moving average (MA) settings, the MOM strategy, and the performance of the returns from
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9

Bergh, G. "Hedge funds and higher moment portfolio selection." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/5881.

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Includes bibliographical references.<br>This study confirms the findings of Davies, Kat and Lu (2003) and Feldman, Chen and Goda (2002) that Global Macro and Equity Market-Neutral strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility ratio.
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10

Ren, He. "Impact of Market State on Momentum Portfolio Risk and Performance: A Risk-Based Explanation." Thesis, University of North Texas, 2019. https://digital.library.unt.edu/ark:/67531/metadc1609137/.

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The momentum puzzle, i.e., stocks that have performed better in the past tend to perform better in the future, has been a constant challenge to classic finance theory. Prior research has failed to provide valid risk-based explanations because winner portfolios do not exhibit higher risk characteristics. Without a convincing risk explanation, the persistence of momentum profit is a violation of the efficient market hypothesis. Today, the momentum puzzle remains one of the very few major anomalies that cannot be explained by Fama-French factor models. I find prior empirical efforts to measure mo
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11

Jonsson, Robin, and Jessica Radeschnig. "Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24848.

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This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh &amp; Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. The study showed that the naive allocation model outperformed the mean-variance model both economically as well as statistically. No indication where obtained for a lagged return effect when letting a mean-vari
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12

Ghalanos, Alexios. "Higher moment models for risk and portfolio management." Thesis, City University London, 2012. http://openaccess.city.ac.uk/2039/.

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This thesis considers specific topics related to the dynamic modelling and management of risk, with a particular emphasis on the generation of asymmetric and fat tailed behavior observed in practise. Specifically, extensions to the dynamics of the popular GARCH model, to capture time variation in higher moments, are considered in the univariate and multivariate context, with a special focus on the Generalized Hyperbolic distribution. In Chapter 1, I consider the extension of univariate GARCH processes with higher moment dynamics based on the Autoregressive Conditional Density model of Hansen (
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13

Ushan, Wardah. "Portfolio selection using Random Matrix theory and L-Moments." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/16921.

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Includes bibliographical references<br>Markowitz's (1952) seminal work on Modern Portfolio Theory (MPT) describes a methodology to construct an optimal portfolio of risky stocks. The constructed portfolio is based on a trade-off between risk and reward, and will depend on the risk- return preferences of the investor. Implementation of MPT requires estimation of the expected returns and variances of each of the stocks, and the associated covariances between them. Historically, the sample mean vector and variance-covariance matrix have been used for this purpose. However, estimation errors resul
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14

Guse, Frank. "Portfoliooptimierung unter Berücksichtigung höherer Momente." Lohmar; Köln Eul, 2005. http://deposit.ddb.de/cgi-bin/dokserv?id=2693587&prov=M&dok_var=1&dok_ext=htm.

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15

Portmann, Thomas. "Lower partial moments : unter besonderer Berücksichtigung ihres Zeithorizontverhaltens /." Bern [etc.] : P. Haupt, 1999. http://aleph.unisg.ch/hsgscan/hm00005996.pdf.

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Diss. Wirtsch.-wiss. St. Gallen, 1999 ; Nr. 2306.<br>En librairie dans la collection "Bank- und finanzwirtschaftliche Forschungen", Bd. 306. Titel der Buchhandelsausg: Zeithorizontverhalten von Lower Partial Moments. Literaturverz.
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16

Janeiro, Filipe João da Assunção. "Volatility adjusted momentum strategy : implementation and performance evaluation." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13075.

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Mestrado em Finanças<br>Implementamos e detalhamos uma estratégia de negociação em ações, de nome estratégia de momentum com volatilidade ajustada, que minimiza o impacto negativo que as emoções humanas podem incutir aos traders nas suas decisões de investimento. Remove a aleatoriedade e interpretação subjetiva na seleção dos ativos constituintes do portfólio. A nossa abordagem totalmente automatizada tira proveito de uma generalizada e bem documentada ineficiência financeira, o efeito momentum. Ao ajustar o momentum à volatilidade e usando paridade de risco no peso a atribuir aos activos no p
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17

Polden, Stuart John. "An investigation into higher and partial moment portfolio selection frameworks." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30878.

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This dissertation highlights the importance of considering higher moments and partial moments of the distribution when conducting portfolio optimisation and selection. This is due partly to the weaknesses of mean-variance optimisation, as discussed throughout the dissertation, and the appropriateness of considering higher moments to better meet the investors utility functions. This dissertation investigates the usage of two bi-objective optimisation frameworks, a Skewness/Semivariance framework previously suggested by Brito et al (2016), and a proposed upside and downside semivariance framewor
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18

Tawil, Dima. "Performance evaluation of portfolio insurance strategies." Thesis, Rennes 1, 2015. http://www.theses.fr/2015REN1G017/document.

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Cette thèse a pour objectif d’évaluer et de comparer la performance des stratégies d’assurance de portefeuille pour tenter de définir quelles stratégies doivent être privilégiées par les investisseurs. Nous comparons de nombreuses stratégies d’assurance (OBPI, CPPI, put synthétique et Stop-loss) entre elles mais également avec quelques autres stratégies de référence. Nous utilisons différents critères de comparaison qui comprennent: 1. Les distributions de pay-off, le niveau de protection, la dominance stochastique et le coût d’assurance dans différentes conditions de marché identifiées par de
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19

SILVA, Valéria Louise de Araújo Maranhão Saturnino. "Proposta de uma sistemática dinâmica de otimização de portfólio: um desenvolvimento a partir das finanças comportamentais." Universidade Federal de Pernambuco, 2016. https://repositorio.ufpe.br/handle/123456789/18617.

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Submitted by Fabio Sobreira Campos da Costa (fabio.sobreira@ufpe.br) on 2017-04-24T13:48:24Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Tese - Valéria Saturnino - Versão Final.pdf: 2311610 bytes, checksum: 50e78bde81f7f2bbf611974dc45a5847 (MD5)<br>Made available in DSpace on 2017-04-24T13:48:24Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Tese - Valéria Saturnino - Versão Final.pdf: 2311610 bytes, checksum: 50e78bde81f7f2bbf611974dc45a5847 (MD5) Previous issue date: 2016-12-09<br>Est
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20

Mironenko, Georgy. "Problem of hedging of a portfolio with a unique rebalancing moment." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-17357.

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The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. The methods of the paper are based on the results for optimal stopping problem and standard mean-square criterion. The solution of the problem, considered in the paper, let us interpret how and - that is more important for us -when investor should rebalance the portfolio, if he wants to hedge it in the best way.
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21

Tian, Ruilin. "Moment Problems with Applications to Value-At-Risk and Portfolio Management." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/rmi_diss/21.

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Moment Problems with Applications to Value-At-Risk and Portfolio Management By Ruilin Tian May 2008 Committee Chair: Dr. Samuel H. Cox Major Department: Risk Management and Insurance My dissertation provides new applications of moment theory and optimization to financial and insurance risk management. In the investment and managerial areas, one often needs to determine some measure of risk, especially the risk of extreme events. However, complete information of the underlying outcomes is usually unavailable; instead one has access to partial information such as the mean, variance
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22

Mazibas, Murat. "Dynamic portfolio construction and portfolio risk measurement." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3297.

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The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together. The overall aim of this research is threefold. First, it is aimed to examine the portfolio construction and risk measurement performance of a broad set of volatility forecast and portfolio optimization model. Second, in an effort to improve their forecast accuracy and portfolio construction performance,
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23

Chunhachinda, Pornchai. "International stock portfolio selection and performance measure recognizing higher moments of return distributions." FIU Digital Commons, 1995. http://digitalcommons.fiu.edu/etd/2361.

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Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers [e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)] argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on
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24

Mattos, Arthur Emilio Kursten de. "O uso do downside risk (media - momentos parciais) como medida de risco na seleção de portfolios." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 1998. http://hdl.handle.net/10183/31353.

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Este trabalho averigua se a medida de risco momentos parciais (MP), utilizada no processo de seleção de ativos para a formação de carteiras, é superior à medida de risco tradicional - a variância. Os resultados alcançados concordam com o que o referencial teórico existente sobre o assunto prevê, e também está de acordo com muitos dos trabalhos empíricos já realizados, especialmente com o estudo de Harlow (1991), que serviu de base metodológica para o trabalho aqui conduzido. Estes resultados indicam que, na amostra escolhida, as carteiras selecionadas pelo método momentos parciais apresentaram
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25

Ganouati, Janet. "A Cross-efficiency approach to portfolio selection." Thesis, Lille 1, 2018. http://www.theses.fr/2018LIL1A013.

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Le processus de sélection de portefeuille peut être effectué en deux étapes: la première consiste à évaluer les actifs financiers et la deuxième à déterminer la combinaison d’actifs qui permettrai d‘allouer de façon optimale la richesse. La combinaison des actifs financiers retenue à la fin de ce processus se doit de répondre simultanément et de façon optimale aux différents objectifs de l‘investisseur. Le problème de sélection de portefeuille peut être considéré comme un processus de décision multicritère. Dans cette thèse, plusieurs critères ont été analysés et on a tenté de répondre à la qu
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26

Ngene, Geoffrey M. "Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and." ScholarWorks@UNO, 2012. http://scholarworks.uno.edu/td/1469.

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In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two
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27

Schwarz, Maria. "Constant Proportion Portfolio Insurance Eine empirische Analyse der CPPI-Investmentstrategie unter Berücksichtigung höherer Momente /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04608659001/$FILE/04608659001.pdf.

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28

Jacinto, Gutarra Jorge Lorenzo, and Baldeon Luis Ricardo Agüero. "Aplicación de factores de inversión: value, volatility, quality y momentum en la Bolsa de Valores de Lima." Master's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2019. http://hdl.handle.net/10757/626323.

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En la presente tesis de aplicación de Factores de Inversión: Value, Volatility, Quality y Momentum en la Bolsa de Valores de Lima (BVL), se utilizó como Benchmark el Índice General de la Bolsa de Valores de Lima (IGBVL), conformada por 39 valores, que mediante filtros de liquidez y tiempo de cotización en la Bolsa quedaron 27, por falta de datos se llegó finalmente a 25 valores. Luego, se definen las variables de cada factor. Para el Factor Value: PER y PBV (Price to Book). Para el Factor Momentum la variable momento de los precios. Para el Factor Quality la variable ROE. Para el Factor Vo
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Martinsson, Engshagen Jan. "Nothing is normal in nance! : On Tail Correlations and Robust Higher Order Moments in Normal Portfolio Frameworks." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102699.

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Abstract This thesis project is divided in two parts. The first part examines the possibility that correlation matrix estimates based on an outlier sample would contain information about extreme events. According to my findings, such methods do not perform better than simple shrinkage methods where robust shrinkage targets are used. The method tested is especially outperformed when it comes to the extreme events, where a shrinkage of the correlation matrix towards the identity matrix seems to give the best result. The second part is about valuation of skewness in marginal distributions and the
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Graf, Mario. "Financial Risk Management State-of-the-Art /." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01665710001/$FILE/01665710001.pdf.

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31

Chiang, I.-Hsuan Ethan. "Essays in Empirical Asset Pricing." Thesis, Boston College, 2009. http://hdl.handle.net/2345/713.

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Thesis advisor: Pierluigi Balduzzi<br>This dissertation consists of two essays in empirical asset pricing. Chapter I, "Skewness and Co-skewness in Bond Returns," explores skewness and co-skewness in discrete-horizon bond returns. Using data for 1976-2005, we find bond skewness is comparable to that in equities, varies with the holding period and varies over time. Speculative-grade bonds and collateralized securities have substantial negative skewness. The sign of the price of co-skewness risk in fixed income market is in general consistent with the theoretical prediction of the three-moment CA
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Tarnaud, Albane. "A "DEA-Financial" approach to assess portfolio performance." Thesis, Lille 1, 2015. http://www.theses.fr/2015LIL12003.

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Cette thèse de doctorat étudie la transposition d’une méthodologie héritée de la théorie de la production, couramment appelée "méthode DEA", à l’analyse de la performance des actifs financiers. Elle souligne la pertinence de l’utilisation d’un estimateur tel que DEA, présente en détail la méthodologie qui lui est traditionnellement associée et fournit une revue de la littérature appliquant cette méthodologie à des portefeuilles d’actifs financiers. La méthodologie étudiée requiert la définition de conditions de régularité caractérisant la technologie commune à chaque entité étudiée. Elle impli
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Vallade, Vincent. "Contributions à la résolution parallèle du problème SAT." Electronic Thesis or Diss., Sorbonne université, 2023. http://www.theses.fr/2023SORUS260.

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Cette thèse présente des contributions multiples et orthogonales à l'amélioration de la résolution parallèle du problème de satisfiabilité booléenne (ou problème SAT). Une instance du problème SAT est une formule propositionnelle de forme particulière (la forme normale conjonctive est la plus courante) représentant, en général, les variables et les contraintes d'un problème du monde réel, tel que la planification multi-contraintes, la vérification matérielle et logicielle ou la cryptographie. La résolution du problème SAT consiste à déterminer s'il existe une affectation des variables qui perm
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Mhiri, Maroua. "Choix des Portefeuilles Internationaux : diversification, attitude face aux risques et barrières à l'investissement." Thesis, Cergy-Pontoise, 2011. http://www.theses.fr/2011CERG0502/document.

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Oliveira, Pablo Frisanco. "Alocação dinâmica ótima com momentos de ordem superior para a estratégia de carry trade." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/9324.

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Submitted by Pablo F. Oliveira (pablo.perque@gmail.com) on 2012-02-29T12:36:59Z No. of bitstreams: 1 Dissertacao - Pablo Frisanco Oliveira -final.pdf: 1039827 bytes, checksum: 63d8e3ff3c6593d9ef449829e78e77c1 (MD5)<br>Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2012-02-29T12:45:22Z (GMT) No. of bitstreams: 1 Dissertacao - Pablo Frisanco Oliveira -final.pdf: 1039827 bytes, checksum: 63d8e3ff3c6593d9ef449829e78e77c1 (MD5)<br>Made available in DSpace on 2012-02-29T12:55:43Z (GMT). No. of bitstreams: 1 Dissertacao - Pablo Frisanco Oliveira -final.pdf
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Soberanis, Policarpio Antonio. "Risk optimization with p-order conic constraints." Diss., University of Iowa, 2009. https://ir.uiowa.edu/etd/437.

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My dissertation considers solving of linear programming problems with p-order conic constraints that are related to a class of stochastic optimization models with risk objective or constraints that involve higher moments of loss distributions. The general proposed approach is based on construction of polyhedral approximations for p-order cones, thereby approximating the non-linear convex p-order conic programming problems using linear programming models. It is shown that the resulting LP problems possess a special structure that makes them amenable to efficient decomposition techniques. The de
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Čumova, Denisa. "Asset Allocation Based on Shortfall Risk." Doctoral thesis, Universitätsbibliothek Chemnitz, 2005. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200500848.

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In der Dissertation wurde ein innovatives Portfoliomodell entwickelt, welches den Präferenzen einer großen Gruppe von Investoren entspricht, die mit der traditionellen Portfolio Selektion auf Basis von Mittelwertrendite und Varianz nicht zufrieden sind. Vor allem bezieht sich die Unzufriedenheit auf eine sehr spezifische Definition der Risiko- und Wertmaße, die angenommene Nutzenfunktion, die Risikodiversifizierung sowie die Beschränkung des Assetuniversums. Dies erschwert vor allem die Optimierung der modernen Finanzprodukte. Das im Modell verwendete Risikomaß-Ausfallrisiko drückt die Präfere
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Hafsa, Houda. "Modèles d'évaluation et d'allocations des actifs financiers dans le cadre de non normalité des rendements : essais sur le marché français." Thesis, Aix-Marseille, 2012. http://www.theses.fr/2012AIXM1015.

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Depuis quelques années, la recherche financière s'inscrit dans une nouvelle dynamique. La nécessité de mieux modéliser le comportement des rendements des actifs financiers et les risques sur les marchés pousse les chercheurs à trouver des mesures de risque plus adéquates. Ce travail de recherche se situe dans cette évolution, ayant admis les caractéristiques des séries financières par des faits stylisés tels que la non normalité des rendements. A travers cette thèse nous essayons de montrer l'importance d'intégrer des mesures de risque qui tiennent compte de la non normalité dans le processus
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Forrester, Andrew C. "Equity Returns and Economic Shocks: A Survey of Macroeconomic Factors and the Co-movement of Asset Returns." Miami University / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=miami1512128483719638.

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Zeboulon, Arnaud. "La détection des retournements du marché actions américain." Thesis, Paris 2, 2015. http://www.theses.fr/2015PA020033.

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Le but de cette thèse est de construire un modèle de détection des changements de phase -passages de marché haussier à baissier et vice versa - du marché des actions américaines cotées, en utilisant un nombre relativement important de variables à la fois fondamentales (macroéconomiques et microéconomiques) et issues de l’analyse technique.Le modèle statistique retenu est la régression logistique statique, avec un retard pour les variables explicatives allant de zéro à trois mois. Les huit variables les plus significatives parmi vingt candidatesont été sélectionnées à partir des données mensuel
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Schmidt, Martin Hermann. "Four essays on German stocks." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2016. http://dx.doi.org/10.18452/17445.

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Diese Dissertation zielt darauf ab, ein besseres Verständnis für Anomalien und Insiderhandel zu schaffen, sowie die Verfügbarkeit von qualitativ hochwertigen Daten für den deutschen Aktienmarkt zu verbessern. Der erste Aufsatz beinhaltet eine verzerrungsfreie Zeitreihe von monatlichen Renditen deutscher Aktien für die Jahre 1954 bis 2013, die auf der Basis stabiler Regeln berechnet und gut dokumentiert ist. Im Weiteren enthält der Aufsatz eine detaillierte Beschreibung des deutschen Aktienmarktes und dessen Besonderheiten, insbesondere im Vergleich zu den USA. Der zweite Aufsatz zeigt am Beisp
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Kato, Fernando Hideki. "Análise de carteiras em tempo discreto." Universidade de São Paulo, 2004. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-24022005-005812/.

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Nesta dissertação, o modelo de seleção de carteiras de Markowitz será estendido com uma análise em tempo discreto e hipóteses mais realísticas. Um produto tensorial finito de densidades Erlang será usado para aproximar a densidade de probabilidade multivariada dos retornos discretos uniperiódicos de ativos dependentes. A Erlang é um caso particular da distribuição Gama. Uma mistura finita pode gerar densidades multimodais não-simétricas e o produto tensorial generaliza este conceito para dimensões maiores. Assumindo que a densidade multivariada foi independente e identicamente distribuída (
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Baptista, Leonor Maria de Santa Marta Granger. "Optimal concentration for value and momentum portfolios." Master's thesis, 2017. http://hdl.handle.net/10362/25870.

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This paper aims to verify the persistence of the profitability of the Momentum strategy, first implemented by Richard Driehaus in the 1980’s. Furthermore, the paper will test the impact of changing several parameters of the strategy on its profitability. A combination of the Momentum strategy with a Value-oriented one will also be analyzed, with a view to assess the outperformance of this aggregate portfolio. The results are in line with Jedadeesh and Titman (2001), there is still evidence for its profitability in recent years, except in times of severe volatility. Additionally, there is
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許哲幃. "Research on momentum portfolios considering in risk environment." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/64782985243552452538.

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Neves, Teresa Botelho. "Introducing risk parity on momentum and carry portfolios." Master's thesis, 2016. http://hdl.handle.net/10362/16598.

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The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momen
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Basic, Amir. "Risk-managed portfolios." Master's thesis, 2018. http://hdl.handle.net/10400.14/25890.

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Risk-managed portfolios that conditions exposure based on past realized volatility increases Sharpe ratios and yields high alphas that persists even after transaction costs. I find this for the market, value, momentum, profitability, investment, return on equity, and betting-against-beta. I offer a strategy that practically eliminates exposure to crashes and that can be easily implemented in real-time. As the strategy takes less risk during recessions it rules out classical risk-based explanations and challenges modelling of time-varying expected returns.<br>Carteiras geridas tendo em ate
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Po-Ting, Lin, and 林柏廷. "An Investigation of Higher-Order Moment and Conditional VaR Interactive Portfolios on Taiwan Stock Momentum Effects." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/16668083342621280581.

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碩士<br>國立臺北大學<br>企業管理學系<br>102<br>The purpose of this study is to investigate better momentum portfolio strategy based on conditonal VaR (CVaR) and skewness and kurtosis of higher momentum segmentation. 855 listed firms in Taiwan stock market with complete data were selected. The monthly data, ranging from Jul, 2003 to Jun, 2013, a total of 120 months were collected. This study utilizes cumulative returns, Sharpe ratio, Stable Tailed Adjusted Returns Ratio (STARR) and Rachev ratio (RR) in sorting and selecting firms for momentum strategy. The STARR and RR ratios use conditional VaR as selection
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Yu, Li-Fang, and 游莉芳. "A Duration Based Analysis on Winner and Loser Portfolios of Momentum Strategy." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/80964020489541732142.

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碩士<br>國立中央大學<br>財務金融學系<br>101<br>Frequent trading may result in high trading costs and prevent the execution of profitable momentum strategy. This thesis tries to examine the turnover frequency of stocks in long-short portfolio of momentum strategy. Empirical results first provide the evidence that momentum strategy is profitable. Second, there are 39.21% (40.21%) winner (loser) stocks retaining their rankings in the next month based on six-month price return performances and the average turnover rate is 86.41% (87.73%) for winner (loser) portfolios in six-month/six-month momentum strategy. Th
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Chen, Kuang-Tai, and 陳瓘靆. "The Comparison of Portfolios between Momentum Strategy and Institutional Holdings--An Example of TSEC Taiwan 50 Index." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/43180831422983762042.

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碩士<br>國立中興大學<br>財務金融系所<br>95<br>As the economic growth goes by, the institutional investors play a more important role than ever before. The institutional investing strategy to individual security becomes a significant referral to the general investors. Positive feedback trading is the most popular method which the institutions take their investing. It was introduced by Jegadeesh and Titman (1993) to use the underreaction of the investors to the news in the period of 3 to 12 months and get some profits by longing the past winners and shorting the past losers. But the cumulative return is the o
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Gao, Rong-Jyun, and 高榮駿. "The Performance Analysis of Momentum Portfolio Strategy." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/30024849936387525565.

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碩士<br>國立雲林科技大學<br>財務金融系<br>102<br>This study examines the momentum effect on portfolio performance. The momentum effects are separated market momentum effect and industrial index momentum by Industry index return and the listed company return. And then we construct portfolio which use reward-to-risk timing strategy and modify BSV method. Besides, we construct alternative portfolios which examine the application of momentum portfolios. The sample period is from January 1996 to December 2013. We use rolling window method with various investment periods of three years, five years and ten years. T
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