Information Ratio Analysis of Momentum Strategies
نویسندگان
چکیده
منابع مشابه
analysis of reading comprehension needs of the students of paramedical studies: the case of the students of health information management (him)
چکیده ندارد.
15 صفحه اولA Theoretical Analysis of Momentum and Value Strategies
We explore implications of the rational theory of momentum and reversal in Vayanos and Woolley (2011) for empirical work and portfolio management. We compute closed-form Sharpe ratios of various implementations of momentum and value strategies, of combinations of these strategies, and for general investment horizons. For plausible parameter values, the correlation between momentum and value ret...
متن کاملThe Analysis of Compound Information Warfare Strategies
The practical defensive and offensive application of Information Warfare most frequently involves the use of complicated compound strategies, in which multichannel and multilayered attacks must be analysed. This paper presents a systematic approach to the analysis problem, which is exploitable for defensive and offensive purposes.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2396099