Momentum Strategy: Application and Modification of VaR
碩士 === 銘傳大學 === 財務金融學系碩士班 === 97 === The momentum strategy uses only the cumulative return of a stock in the formation period as a stock selection criterion to determine winners and losers portfolio without consideration of the risk factor. Besides, Rachev et al. (2007) has pointed out that stock se...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/s67f55 |