Momentum and Mean Reversion in Strategic Asset Allocation.

Ralph S. J. Koijen Juan Carlos Rodríguez Alessandro Sbuelz

Published in: Manag. Sci. (2009)

Keyphrases

asset allocation
portfolio selection
portfolio management
optimal portfolio
portfolio optimization
stock market
financial markets
passive aggressive
decision making
long term
simulated annealing
robust optimization
transaction costs
capacity planning