South Kensington Campus
London, SW7 2AZ
1 Finsbury Avenue
London, EC2M 2PP
Imperial College Business School
UBS Investment Bank
in Total Papers Downloads
Trend-following, Momentum, Constant-volatility, Volatility-targeting, Trading rules, Pairwise correlations, Diversification, Transaction costs, Turnover
Trend-following, Momentum, Managed Futures, CTA, Capacity Constraints
Momentum, Price Trend, Transaction Costs, Stop-Loss, Empirical Mode Decomposition, Ensemble Empirical Mode Decomposition
quity risk premium, predictability, out-of-sample forecasting, economic constraints, predictive regression, asset allocation, business cycles, profitability, trading strategies
Seasonality, Trend-following, Momentum, Managed Futures, CTA, Commodities
Trend-following, Momentum, Inverse-volatility, Risk-parity, Pairwise correlations, Managed Futures, CTA
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