Linking Momentum Strategies with Single-Period Portfolio Models

摘要: Several versions of the Markowitz portfolio model are evaluated with respect to patterns in equity markets. Much research has shown that strategies based on momentum have generated superior risk adjusted returns. We form a long-only via industry-level assets; strategy beats, many others over numerous markets and time periods provides good benchmark for competing optimization models. Simple models quite effective, as long proper historical period is chosen stochastic projections. Investment performance optimal asset allocation can be improved by considering effects parameter estimation procedures.