On front-running momentum and portfolio optimization
Most of the empirical research on momentum in finance has been conducted using monthly data and horizons for the formation and holding period of winner and loser portfolio. This research paper studies momentum using a weekly approach and examines strategies that are more flexible than the crowded mo...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2017
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| Online Access: | http://hdl.handle.net/11427/25078 |