Momentum strategies based on reward-risk stock selection criteria

Journal of Banking and Finance

Volumn 31, Issue 8, 2007, Pages 2325-2346

  Rachev, Svetlozar ^a,b   Jašić, Teo ^a   Stoyanov, Stoyan ^c   Fabozzi, Frank J ^d  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c FinAnalytica Inc   (United States)

^d YALE SCHOOL OF MANAGEMENT   (United States)

Author keywords

Expected tail loss; Momentum strategies; Reward risk stock selection criteria; Risk adjusted performance; Stable Paretian distribution

Indexed keywords

EID: 34447626971     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.02.006     Document Type: Article

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