| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5090050 | Journal of Banking & Finance | 2012 | 10 Pages |
Abstract
⺠We propose parametric portfolio policies that make use of industry momentum. ⺠Our policies allow the combination with any benchmark strategy. ⺠We extend existing approaches by introducing a novel long-only policy. ⺠Our policies improve the performance of the benchmark strategies substantially. ⺠We validate our strong performance with established bootstrap methods.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Patrick Behr, Andre Guettler, Fabian Truebenbach,