Optimal Dynamic Momentum Strategies
Published Online:17 Feb 2022https://doi.org/10.1287/opre.2021.2254
References
- (2007) Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. Rev. Econom. Statist. 89(4):701–720.Crossref, Google Scholar
- (1997) Parallels between the cross-sectional predictability of stock and country returns. J. Portfolio Management 23:79–87.Crossref, Google Scholar
- (2013) Value and momentum everywhere. J. Finance 68(3):929–985.Crossref, Google Scholar
- (1989) Post-earnings-announcement drift: Delayed price response or risk premium. J. Accounting Res. 27:1–36.Crossref, Google Scholar
- (1994) The pricing of forward-starting Asian options. J. Banking Finance 18(5):823–839.Crossref, Google Scholar
- (1992) Simple technical trading rules and the stochastic properties of stock returns. J. Finance 47(5):1731–1764.Crossref, Google Scholar
- (2011) Managed Futures for Institutional Investors: Analysis and Portfolio Construction (John Wiley & Sons, Hoboken, NJ).Crossref, Google Scholar
- (2013) Functional Ito calculus and stochastic integral representation of martingales. Ann. Probab. 41(1):109–133.Crossref, Google Scholar
- (1989) Optimal consumption and portfolio policies when asset process follow a diffusion process. J. Econom. Theory 49(1):33–83.Crossref, Google Scholar
- (1991) A variational problem arising in financial economics. J. Math. Econom. 20(5):465–487.Crossref, Google Scholar
- (2014) Frog in the pan: Continuous information and momentum. Rev. Financial Stud. 27(7):2171–2218.Crossref, Google Scholar
- (2010) A lattice algorithm for pricing moving average barrier options. J. Econom. Dynamics Control 34(3):542–554.Crossref, Google Scholar
- (2022) Factor momentum and the momentum factor. J. Finance Forthcoming.Crossref, Google Scholar
- (1988) Permanent and temporary components of stock prices. J. Political Econom. 96(2):246–273.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2004) The 52-week high and momentum investing. J. Finance 59(5):2145–2176.Crossref, Google Scholar
- (2017) The trend is your friend: Time-series momentum strategies across equity and commodity markets. Rev. Finance 21(4):1557–1592.Crossref, Google Scholar
- (2013) The fundamentals of commodity futures returns. Rev. Finance 17(1):35–105.Crossref, Google Scholar
- (2018) Cross-sectional and time-series tests of return predictability: What is the difference? Rev. Financial Stud. 31(5):1784–1824.Crossref, Google Scholar
- (2004) Predicting stock price movements from past returns: The role of consistency and tax-loss selling. J. Financial Econom. 71(3):541–579.Crossref, Google Scholar
- (1979) Martingales and arbitrage in multiperiod securities markets. J. Econom. Theory 20(3):381–408.Crossref, Google Scholar
- (2006) Evaluating portfolio policies: A duality approach. Oper. Res. 54(3):405–418.Link, Google Scholar
- (2015) Profitability of time series momentum. J. Banking Finance 53:140–157.Crossref, Google Scholar
- (2008) Seasonality in the cross-section of stock returns. J. Financial Econom. 87(2):418–445.Crossref, Google Scholar
- (2014) Behavioral learning equilibria. J. Econom. Theory 150:778–814.Crossref, Google Scholar
- (2005) Market frictions, price delay, and the cross-section of expected returns. Rev. Financial Stud. 18(3):981–1020.Crossref, Google Scholar
- (2010) Understanding Managed Futures (AQR Capital Management).Google Scholar
- (2017) A century of evidence on trend-following investing. J. Portfolio Management 44(1):15–29.Crossref, Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
- (1998) Methods of Mathematical Finance (Springer-Verlag, New York).Crossref, Google Scholar
- (1987) Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. SIAM J. Control Optim. 25(6):1557–1586.Crossref, Google Scholar
- (1996) Dynamic nonmyopic portfolio behavior. Rev. Financial Stud. 9(1):141–161.Crossref, Google Scholar
- (2009) Momentum and mean reversion in strategic asset allocation. Management Sci. 55(7):1199–1213.Link, Google Scholar
- (1982) Time to build and aggregate fluctuations. Econometrica 50(6):1345–1370.Crossref, Google Scholar
- (2015) The cross-section of expected stock returns. Critical Finance Rev. 4:1–44.Crossref, Google Scholar
- (2012) Investor attention, psychological anchors, and stock return predictability. J. Financial Econom. 104(2):401–419.Crossref, Google Scholar
- (2018) Portfolio selection under time delays: A piecewise dynamic programming approach. working paper Preprint, submitted May 13, 2019, https://dx.doi.org/10.2139/ssrn.2916481.Google Scholar
- (2007) Portfolio selection in stochastic environments. Rev. Financial Stud. 20(1):1–39.Crossref, Google Scholar
- (2010) The Evolution of Technical Analysis: Financial Prediction from Babylonian Tablets to Bloomberg Terminals (John Wiley & Sons, Hoboken, NJ).Google Scholar
- (2012) Forecasting the forecasts of others: Implications for asset pricing. J. Econom. Theory 147(3):941–966.Crossref, Google Scholar
- (2015) Equity hedging and exchange rates at the London 4 p.m. fix. J. Financial Markets 22:50–72.Crossref, Google Scholar
- (1971) Optimum consumption and portfolio rules in a continuous-time model. J. Financial Econom. 3(4):373–413.Google Scholar
- (1999) Do industries explain momentum? J. Finance 54(4):1249–1290.Crossref, Google Scholar
- (1999) Time series momentum. J. Financial Econom. 104(2):228–250.Crossref, Google Scholar
- (2013) Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading (John Wiley & Sons, Hoboken, NJ).Crossref, Google Scholar
- (2014) Forecasting the equity risk premium: The role of technical indicators. Management Sci. 60(7):1772–1791.Link, Google Scholar
- (2003) Do momentum-based strategies still work in foreign currency markets? J. Financial Quant. Anal. 38(2):425–447.Crossref, Google Scholar
- (1988) Mean reversion in stock prices: Evidence and implications. J. Financial Econom. 22(1):27–59.Crossref, Google Scholar
- (2007) Momentum strategies based on reward-risk stock selection criteria. J. Banking Finance 31(8):2325–2346.Crossref, Google Scholar
- (1998) International momentum strategies. J. Finance 53(1):267–284.Crossref, Google Scholar

