University of Hull logo

Browse


Asset allocation with time series momentum and reversal (2018)
Journal Article
He, X., Li, K., & Li, Y. (2018). Asset allocation with time series momentum and reversal. Journal of Economic Dynamics and Control, 91, 441-457. doi:10.1016/j.jedc.2018.02.004

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 marke... Read More