Time Series Momentum.

Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). Time Series Momentum. Journal of Financial Economics, 228-250.

Type

Journal article

Intellectual base

Primary research

Year

2012

DOI

10.1016/j.jfineco.2011.11.003

Link

https://doi.org/10.1016/j.jfineco.2011.11.003

Cited from

medicine_healthcare

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Gain Control
  • In markets volatility-targeted portfolios scale exposure inversely to recent variance.

    This sourceDocuments volatility-scaled (volatility-targeted) position sizing — scaling exposure inversely to recent realized volatility — the finance instance of automatic-gain-control structure.

Verification

This reference passed the adversarial substantiation pipeline: it was checked to exist and to support the claim it is attached to. See how references were verified.

Registry ID ref:62429f6b8d49 · see in the full table