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Risk-managed time-series momentum: an emerging economy experience
(Universidad ESAN. ESAN EdicionesPE, 2022-12-28)
Purpose: This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also ...
Backtesting do efeito momentum em portfólios no mercado acionário brasileiro entre 2001 e 2020Backtesting of the momentum effect in portfolios in the Brazilian stock market between 2001 and 2020
(Universidade Federal de UberlândiaBrasilCiências Econômicas, 2022)
Art as investment
(2022-05)
This paper applies the Fama-French three-factors model, augmented with Momentum and Liquidity factors, to analyze Art as an Investment. It also compares investing in Art to several other traditional and non-traditional ...
Aplicación de factores de inversión: value, volatility, quality y momentum en la Bolsa de Valores de Lima
(Universidad Peruana de Ciencias Aplicadas (UPC)PE, 2019-07-20)
En la presente tesis de aplicación de Factores de Inversión: Value, Volatility, Quality y Momentum en la Bolsa de Valores de Lima (BVL), se utilizó como Benchmark el Índice General de la Bolsa de Valores de Lima (IGBVL), ...
Single-particle momentum distributions of Efimov states in mixed-species systems
(2013-06-04)
We solve the three-body bound-state problem in three dimensions for mass imbalanced systems of two identical bosons and a third particle in the universal limit where the interactions are assumed to be of zero range. The ...
Finite-momentum condensate of magnetic excitons in a bilayer quantum Hall system
(Amer Physical Soc, 2012-07-26)
We study the bilayer quantum Hall system at total filling factor nu(T) = 1 within a bosonization formalism which allows us to approximately treat the magnetic exciton as a boson. We show that in the region where the distance ...
Finite-momentum condensate of magnetic excitons in a bilayer quantum Hall system
(2012-07-26)
We study the bilayer quantum Hall system at total filling factor ν T=1 within a bosonization formalism which allows us to approximately treat the magnetic exciton as a boson. We show that in the region where the distance ...
Finite-momentum condensate of magnetic excitons in a bilayer quantum Hall system
(Amer Physical Soc, 2012-07-26)
We study the bilayer quantum Hall system at total filling factor nu(T) = 1 within a bosonization formalism which allows us to approximately treat the magnetic exciton as a boson. We show that in the region where the distance ...
Robust optimization of time series momentum portfolios
(Lociedade Brasileira de Finanças, 2021)