Browsing NHH Brage by Author "Kusi, Enoch"
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Managing momentum crashes in real time : US stock market
Kusi, Enoch; Avevor, Eric Elikplim (Master thesis, 2018)Though, profitable, momentum is punctuated with crashes which make the strategy risky and unfavourable for an investor who dislikes long tails. Volatility management is one approach that has been introduced to deal with ...