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Field Lab: Analysis of Quantitative ...

Beckonert, Lars,

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Field Lab: Analysis of Quantitative Investment Strategies Constructing a Multi-Factor Investment Strategy Optimized Sector Momentum /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Field Lab: Analysis of Quantitative Investment Strategies Constructing a Multi-Factor Investment Strategy Optimized Sector Momentum // Lars Beckonert.
Author:	Beckonert, Lars,
Description:	1 electronic resource (75 pages)
Notes:	Source: Masters Abstracts International, Volume: 85-11.
Contained By:	Masters Abstracts International85-11.
Subject:	Investments. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31014210
ISBN:	9798382575537

Field Lab: Analysis of Quantitative Investment Strategies Constructing a Multi-Factor Investment Strategy Optimized Sector Momentum /
Beckonert, Lars,

Field Lab: Analysis of Quantitative Investment Strategies Constructing a Multi-Factor Investment Strategy Optimized Sector Momentum /Lars Beckonert. - 1 electronic resource (75 pages)

Source: Masters Abstracts International, Volume: 85-11.

In the combined part a multi-factor investment strategy is constructed out of four different enhanced single factor strategies using an optimization to maximize the Sharpe ratio of the combined portfolio. In the individual part an optimized sector momentum strategy is constructed that consists of a combination of a long and a market-neutral long/short strategy utilizing a simple regime-switching process with the goal to minimize momentum crashes and achieve robust returns in all market states.

English

ISBN: 9798382575537Subjects--Topical Terms:

566987
Investments.

Field Lab: Analysis of Quantitative Investment Strategies Constructing a Multi-Factor Investment Strategy Optimized Sector Momentum /
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