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· 분류 : 외국도서 > 경제경영 > 금융/재정 > 금융공학
· ISBN : 9781119599326
· 쪽수 : 432쪽
· 출판일 : 2020-12-02
목차
Introduction: Andrew Grant and Steve Satchell
1. Behavioural Finance and Momentum: Andrew Grant
2. A Taxonomy of Momentum Strategies: Steve Satchell
3. Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules, and Pairwise Correlations: Nick Baltas and Robert Kosowski
4. Risk and Return of Momentum in Developed Equity Markets: Jose Menchero and Lei Ji
5. Momentum across Asset Classes: Dan DiBartolomeo and Bill Zieff
6. Momentum in Momentum ETFS: Katharina Schwaiger and Muhammad Massood
7. CTA Momentum: Oliver Williams
8. Overreaction and Faint Praise - Short-Term Momentum in Contemporary Art: Oliver Williams and Anders Pedersen
9. Volatility Managed Momentum: Yang Gao
10. Theoretical Analysis of the Fama-French Portfolios: Andrew Grant, Oh Kang Kwon, and Steve Satchell
11. Commodity Factors for Multi-Asset Class Portfolios: Stefano Cavaglia, Vadim Moroz and Louis Scott
12. Time Series Variation in Factor Premia – The influence of the business cycle: Christopher Polk, Mo Haghbin and Alessio de Longis
13. Where Goes Momentum: Ron Bird, Xiaojun (Kevin) Gao and Danny Yeung
14. Time-series momentum in Credit: Machine learning approach: Shivam Ghosh, Steve Satchell and Nandini Srivastava
15. Momentum and Business Cycles: Byoung-Kyu Min
16. Momentum as a Fundamental Risk Factor: Chris Tinker
17. Momentum, Value, and Carry Commodity Factors for Multi-Asset Portfolios: Stefano Cavaglia, Louis Scott, Kenneth Blay and Vincent de Martel
