Trend-Following, Risk-Parity and the Influence of Correlations-Reference-Cited by-同舟云学术

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Trend-Following, Risk-Parity and the Influence of Correlations

Published:2015 Issue: Volume: Page:65-95
ISSN:
Container-title:Risk-Based and Factor Investing
language:
Short-container-title:

Author:

Baltas Nick

Publisher

Elsevier

Reference50 articles.

1. Will my risk parity strategy outperform?;Anderson;Financial Analysts Journal,2012

2. Leverage aversion and risk parity;Asness;Financial Analysts Journal,2012

3. Value and momentum everywhere;Asness;Journal of Finance,2013

4. Trend-following meets risk-parity;Baltas,2013

5. Momentum strategies in futures markets and trend-following funds;Baltas,2013

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Portfolio management based on a reinforcement learning framework;Journal of Forecasting;2024-05-19

2. Profit-based deep architecture with integration of reinforced data selector to enhance trend-following strategy;World Wide Web;2022-10-14

3. Factor momentum, option-implied volatility scaling, and investor sentiment;Journal of Asset Management;2021-07-03

4. Enhanced Portfolio Optimization;Financial Analysts Journal;2021-02-19

5. Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations;Market Momentum;2020-11-16

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