Sökning: "Kelly criterion"

Hittade 1 avhandling innehållade orden Kelly criterion.

1. 1. On the profitability of momentum strategies and optimal leverage rules

   Författare :Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout Strategies; Optimal fraction criterion; Time series momentum; Economics; nationalekonomi;

   Sammanfattning : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. LÄS MER