Browsing Master theses by Author "Cao, Nguyen"
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ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES
Cao, Nguyen; Vdovina, Natalia (2019-07-02)Despite the high expected returns of the momentum strategy, there are two main problems associated with it: (i) infrequent but severe losses known as momentum crashes, and (ii) high transaction costs. In this paper, we ...