Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

By Paul Jusselin, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli, Tung-Lam Dao. 2017

13 citations recorded by the source corpus.

Subfields: Finance

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In Finance

1. Bryan Lim
2. Stephen J. Roberts
3. Stefan Zohren

Citations in the corpus

• Enhancing Time-Series Momentum Strategies Using Deep Neural Networks (2019, background): “Furthermore, even with volatility scaling— which leads to positively skewed returns distributions and long option–like behavior (Martins and Zou 2012; Jusselin et al. 2017)—trend-following strategies can place more losing trades than winning ones and still be profitable on the whole because they…”