RePEcTrading, Microstructure & Execution
Loss-Cutting and Gain-Riding Strategies
A new trading strategy is proposed that targets left tail risk and generates an annualized alpha of 180 bps over 5 years, outperforming the contrarian mean-variance optimal strategy.
Featured in No. 7 on 12 Jul 2023 ·
- Released
- 20 Jan 2022
- First featured
- No. 7 · 12 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 15
- Identifier
- RePEc:taf:apmtfi:v:29:y:2022:i:5:p:402-438
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