Trends and Risk Premia: Update and Additional Plots
| Autor: | Dao, Tung-Lam, Hoehener, Daniel, Lempérière, Yves, Nguyen, Trung-Tu, Seager, Philip, Bouchaud, Jean-Philippe |
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| Rok vydání: | 2017 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years, the second is about the correlation between the profitability of "Risk Premia" and their skewness. In this short note, we present two additional plots that fully corroborate our findings on new data. Comment: Short note, 2 figures |
| Databáze: | arXiv |
| Externí odkaz: |
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