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- W4385293529 abstract "In occasions called momentum crashes, the usually effective cross-sectional momentum strategy for financial asset allocation produces drastically negative returns. We develop a stochastic mean-risk optimization model featuring CVaR to control the risk, dynamically adjusted CVaR tail probability and objective function weight, and return scenarios generated by hybrid moment-matching. In a 95-year backtest, portfolios rebalanced by our method provide higher returns and lower risk than those rebalanced by a cross-sectional momentum heuristic, while avoiding momentum crashes." @default.
- W4385293529 created "2023-07-28" @default.
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- W4385293529 date "2023-07-03" @default.
- W4385293529 modified "2023-09-27" @default.
- W4385293529 title "Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion" @default.
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- W4385293529 doi "https://doi.org/10.1080/0013791x.2023.2229620" @default.
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