Momentum strategies based on reward-risk stock selection criteria

By Svetlozar T. Rachev, Teo Jasic, Stoyan Stoyanov, Frank J Fabozzi 3. 2007

110 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7df830cc40c306a15273b417b2b77f848815319e

Citations in the corpus

• Optimal Financial Portfolios (2007, unknown): “Such are for instance the Farinelli–Tibiletti ratio and the Generalized Rachev ratio (see Biglova et al., 2004; and Rachev et al., 2007).”
• Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, unknown): “The examples of the use of the risk measures on the basis of valueat-risk (VaR) include: Dowd (2000) (standard VaR), Favre and Galeano (2002) (modified for skewness and kurtosis VaR), and Rachev et al. (2007) (conditional VaR).”