Johannes Paulus Du Plessis

Independent

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Volatility Weighting Applied to Momentum Strategies

Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/jai.2017.19.3.040
Number of pages: 37 Posted: 29 Apr 2015 Last Revised: 22 May 2019
Johannes Paulus Du Plessis and Winfried G. Hallerbach
Independent and Robeco Asset Management, Quantitative Investment Research
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Citation 5

Abstract:

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momentum, trend following, volatility weighting, cross-section dispersion