Publicação
In a quest for an improved momentum strategy
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Hirschey, Nicholas H. | |
| dc.contributor.author | Gouveia, Jorge Fresta Homem de | |
| dc.date.accessioned | 2023-08-02T11:34:12Z | |
| dc.date.available | 2023-08-02T11:34:12Z | |
| dc.date.issued | 2023-01-13 | |
| dc.date.submitted | 2022-12-16 | |
| dc.description.abstract | Momentum is one of the most studied anomalies in the literature. For decades it delivered significant excess returns, however lately it has been underperforming. In this work I show that by combining a dual momentum strategy with risk parity weighting and volatility scaling, a considerable amount of the momentum strategies downfalls can be solved, while increasing the Sharpe Ratio almost five times in comparison with the default momentum strategy, and dramatically reducing the tail and crash risk. These results are further improved, after combining with the remaining strategies from my group, using Markowitz’ portfolio optimization theory. | pt_PT |
| dc.identifier.tid | 203310810 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/156163 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | UID/ECO/00124/2013 | pt_PT |
| dc.subject | Constant-volatility | pt_PT |
| dc.subject | Momentum | pt_PT |
| dc.subject | Trend-following | pt_PT |
| dc.subject | Risk parity | pt_PT |
| dc.subject | Beta targeting | pt_PT |
| dc.title | In a quest for an improved momentum strategy | 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 Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |