Publicação
Volatility timing and momentum: synergy of the two strategies in the United Kingdom market
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Hirschey, Nicholas H. | |
| dc.contributor.author | Bogonis, Rostyslav | |
| dc.date.accessioned | 2025-02-25T11:28:37Z | |
| dc.date.available | 2025-02-25T11:28:37Z | |
| dc.date.issued | 2024-01-24 | |
| dc.date.submitted | 2023-12-20 | |
| dc.description.abstract | This study shows that the static low-volatility strategy can be improved by using the volatility based timing strategy. The momentum strategy, which consists of buying securities in the winner quintile and selling securities in the loser quintile each month, was combined with the volatility based timing strategy. The results show that a combined portfolio can generate better results regarding Sharpe Ratio statistics. The research was undertaken within the United Kingdom (1991/01 until 2022/12). In the group part, diverse strategies were combined to form three portfolios: Equal-Weighted, Tangency and Global Minimum Variance to provide valuable insights for investors seeking to optimize their portfolios. | pt_PT |
| dc.identifier.tid | 203865847 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/179747 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | UID/ECO/00124/2013 | pt_PT |
| dc.subject | Financial markets | pt_PT |
| dc.subject | Quantitative investment strategies | pt_PT |
| dc.subject | Volatility timing | pt_PT |
| dc.subject | Momentum | pt_PT |
| dc.subject | United Kingdom | pt_PT |
| dc.subject | Portfolio optimization | pt_PT |
| dc.title | Volatility timing and momentum: synergy of the two strategies in the United Kingdom market | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Master’s degree in Finance from the Nova School of Business and Economics | pt_PT |