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Checked 17h ago · Updated 1d ago
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Assets / Bootstrap Returns Simulation
4
Assets / Clustering / Correlation-Based
3
Assets / Correlation Matrix
14
Assets / Correlation Matrix Estimation
13
Assets / Correlation Matrix Forecast
4
Assets / Covariance Matrix
5
Assets / Covariance Matrix Estimation
7
Assets / Covariance Matrix Forecast
4
Assets / Expected Returns Estimation
3
Assets / Indicators
11
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Effective Rank
post
Turbulence Index
post
Absorption Ratio
post
Sign Momentum
post
Momentum
post
Rank Momentum
post
Information Discreteness
post
Trend Clarity
post
Return Information Signal
post
Market Rank
post
Entropic Connectedness
Assets / Monte Carlo Returns Simulation
10
Assets / Prices
2
Assets / Returns
3
Assets / Returns / Moments
5
Assets / Returns Fitting
9
Assets / Returns Transformation
4
Assets / Volatility Estimation
10
Assets / Volatility Forecast
5
Capital Market Assumptions
3
Factors
1
Factors / Risk Models
3
Market Indicators
4
Portfolio Analysis
6
Portfolio Analysis / Contributions
7
Portfolio Analysis / Drawdowns
9
Portfolio Analysis / Mean-Variance
7
Portfolio Analysis / Return
3
Portfolio Analysis / Returns
2
Portfolio Analysis / Returns / Moments
3
Portfolio Analysis / Returns / Partial Moments
3
Portfolio Analysis / Risk Measures
3
Portfolio Analysis / Risk Measures / Conditional Value At Risk Estimation
6
Portfolio Analysis / Risk Measures / Conditional Value At Risk Forecast
2
Portfolio Analysis / Risk Measures / Value At Risk Estimation
10
Portfolio Analysis / Risk Measures / Value At Risk Forecast
2
Portfolio Construction
1
Portfolio Optimization
15
Portfolio Optimization / Mean-Variance
16
Portfolio Optimization / Ulcer Index
2
Portfolio Post-Optimization
1
Portfolio Replication
2
Portfolio Simulation
3
Portfolio Transformation
2
Assets / Indicators
Sign Momentum
Compute the sign momentum of an asset.
References
Chen, Tsung-Yu, Chou, Pin-Huang Ko, Kuan-Cheng, Rhee, S. Ghon, Rank, Sign, and Momentum, 14th Conference on Asia-Pacific Financial Markets
Fotis Papailias, Jiadong Liu, Dimitrios D. Thomakos, Return signal momentum, Journal of Banking & Finance, Volume 124, 2021, 106063
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