Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion
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Title
Avoiding momentum crashes using stochastic mean-CVaR optimization with time-varying risk aversion
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Keywords
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Journal
ENGINEERING ECONOMIST
Volume 68, Issue 3, Pages 125-152
Publisher
Informa UK Limited
Online
2023-07-26
DOI
10.1080/0013791x.2023.2229620
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