In this paper I analyze the diversifation power of market neutral momentum-based portfolio strategies. I show that even without superior selection ability these strategies can increase significantly portfolio efficiency thanks to a low correlation level with the major market indices.
Market Neutral Strategies as a diversification tool
NAVONE, MARCO
2003
Abstract
In this paper I analyze the diversifation power of market neutral momentum-based portfolio strategies. I show that even without superior selection ability these strategies can increase significantly portfolio efficiency thanks to a low correlation level with the major market indices.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.