Momentum and mean reversion in strategic asset allocation

Management Science

Volumn 55, Issue 7, 2009, Pages 1199-1213

  Koijen, Ralph S J ^a   Rodríguez, Juan Carlos ^b   Sbuelz, Alessandro ^c  

^a UNIVERSITY OF CHICAGO   (United States)

^b Center for Research in Economics and Business Tilburg University   (Netherlands)

^c UNIVERSITÀ CATTOLICA DEL SACRO CUORE   (Italy)

Author keywords

Financial institutions; Investment; Investment criteria; Portfolio choice

Indexed keywords

ASSET ALLOCATION; CLOSED FORM; CONTINUOUS TIME MODELS; ECONOMIC VALUES; FINANCIAL INSTITUTIONS; INVESTMENT CRITERIA; MEAN REVERSION; NONMONOTONIC; OPTIMAL INVESTMENTS; PORTFOLIO CHOICE; STOCK RETURNS; TIME VARIATIONS;

ECONOMICS; HYDROELECTRIC POWER; STRATEGIC PLANNING;

INVESTMENTS;

EID: 68349105097     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1090.1006     Document Type: Article

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