Journal of investment strategies
Understanding risk-based portfolios
Published online only
Source: Journal of Investment Strategies
Equity portfolio managers traditionally form portfolios using forecasts of returns. They seek to identify and hold stocks that will have high returns and to avoid stocks that will have low returns. In...
Published online only
Source: Journal of Investment Strategies
Hedging methods are divided into single-period and multiperiod forms. After reviewing some well-known hedging algorithms, two new procedures called the Dickey-Fuller optimal (DFO) method and the minimax...
Published online only
Source: Journal of Investment Strategies
We identify the most general measure of arbitrage for any market model governed by Ito processes, and, on that basis, we develop dynamic arbitrage strategies. It is shown that our arbitrage measure is...
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Downside risk properties of foreign exchange and equity investment strategies...
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Source: Journal of Investment Strategies
This paper presents an overview of widely practiced short-term multicurrency investment strategies such as carry-trade, momentum and term-spread strategies. We provide novel evidence on their downside risk properties and illustrate their performance over...
Latest Issue: Volume 1/Number 2, Spring 2012
Published online only
Source: Journal of Investment Strategies
Welcome to the second issue of The Journal of Investment Strategies. When we launched the journal in December 2011, the Editorial Board set out to create an outlet for diverse ideas ranging from methodology to practical applications, from portfolio management...
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