Autor:	Philippe Declerck
Rok vydání:	2020
Předmět:	Mathematical optimization Momentum (technical analysis) Work (electrical) Computer science SIGNAL (programming language) sort Value (mathematics)
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3750134
Popis:	We describe a framework to build deep value multi-asset long-only portfolios. Portfolios built according to this framework do add value, and are robust to several changes of specifications. Much like traditional value portfolios, we document they work better when combined with some sort of momentum signal.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b1cb7dde8356d16a88f70c2617f2ad41 https://doi.org/10.2139/ssrn.3750134 Zobrazit plný text záznamu