Design and Validation of Ranking Statistical Families for Momentum-Based Portfolio Selection
In this thesis we will evaluate the effectiveness of using daily return percentiles and power means as momentum indicators for quantitative portfolio selection. The statistical significance of momentum strategies has been well-established, but in this thesis we will select the portfolio size and hol...
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| Format: | Others |
| Language: | English |
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2013
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| Online Access: | http://hdl.handle.net/1911/71697 |