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Factor Momentum and Regime-Switching Overlay Strategy
Junhan Gu
,
John M. Mulvey
Research output
:
Contribution to journal
›
Article
›
peer-review
6
Scopus citations
Overview
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Keyphrases
Regime Switching
100%
Factor Momentum
100%
Market Crash
50%
Momentum Strategy
50%
Risk-adjusted Returns
50%
High Risk
25%
Filtering Algorithm
25%
Portfolio Optimization
25%
Machine Learning Techniques
25%
Crash
25%
Asset Allocation
25%
Historical Period
25%
Scaling Approach
25%
Trend Filtering
25%
Investment Performance
25%
Risk Parity
25%
Nominal Risk
25%
Volatility Scaling
25%
Economics, Econometrics and Finance
Portfolio Selection
100%
Regime Switching
100%
Investors
100%
Volatility
50%
Machine Learning
50%
Time Series
50%
Computer Science
Machine Learning Technique
100%
Substantial Amount
100%
Asset Allocation
100%
Historical Time
100%
Engineering
Filtering Algorithm
100%
Machine Learning Technique
100%