Mikhail Samonov

Two Centuries Investments

Princeton, NJ

United States

  • Two Centuries Investments

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 3,517

SSRN RANKINGS

Top 3,517

in Total Papers Downloads

16,556

SSRN CITATIONS
Rank 24,613

SSRN RANKINGS

Top 24,613

in Total Papers Citations

20

CROSSREF CITATIONS

18

Scholarly Papers (5)

Actions:
Email selected abstracts
1.

Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)

Number of pages: 77 Posted: 20 May 2015 Last Revised: 11 May 2017
Christopher Geczy and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 7,763 (1,295)
Citation 11

Abstract:

Loading...

Price Momentum, Early Security Prices, Market States, Price Reversal, Currency, Commodity, Bonds

2.

Two Centuries of Price Return Momentum

Financial Analysts Journal, Vol. 72, No. 5 (September/October 2016), Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 12 Jul 2013 Last Revised: 10 Sep 2020
Christopher Geczy and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 6,430 (1,787)
Citation 31

Abstract:

Loading...

Price Momentum, Early Security Prices, Market States, Price Reversal, Hedging

3.

A Century of Asset Allocation Crash Risk

Number of pages: 56 Posted: 06 Jan 2023 Last Revised: 08 Feb 2023
Mikhail Samonov and Nonna Sorokina
Two Centuries Investments and The Pennsylvania State University
Downloads 1,279 (24,781)

Abstract:

Loading...

Behavioral Finance, Risk Aversion, Investment Outcomes, Dynamic Asset Allocation, Risk Parity, Factor Investing, Endowment Model, Market Downturn, Drawdown

4.

Two Centuries of Commodity Futures Premia: Momentum, Value and Basis

Number of pages: 28 Posted: 26 Feb 2019
Christopher Geczy and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads 722 (55,229)

Abstract:

Loading...

Commodity Futures, Long-Run Research, Momentum, Value, Basis

5.

Efficient SRI/ESG Portfolios

Number of pages: 43 Posted: 30 Jul 2019
Christopher Geczy, John Guerard and Mikhail Samonov
University of Pennsylvania - The Wharton School, Finance Department, McKinley Capital Management, LLC and Two Centuries Investments
Downloads 362 (128,287)
Citation 1

Abstract:

Loading...

Socially Responsible Investing, ESG, Portfoio Selection