Asset Allocation with Time Series Momentum and Reversal
Author | : Xuezhong He |
Publisher | : |
Total Pages | : 51 |
Release | : 2017 |
ISBN-10 | : OCLC:1305379064 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Asset Allocation with Time Series Momentum and Reversal written by Xuezhong He and published by . This book was released on 2017 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on time series momentum of moving averages over short-time horizons and reversal significantly outperforms, both in-sample and out-of-sample, the S&P500 and pure strategies based on either time series momentum or reversal only. The results are robust for different time horizons, short-sale constraints, market states, investor sentiment, and market volatility.