Factor Momentum and Regime-Switching Overlay Strategy

Keyphrases

• An-1 25%
• Asset Allocation 25%
• Crash 25%
• Factor Momentum 100%
• Filtering Algorithm 25%
• High Risk 25%
• Historical Period 25%
• Investment Performance 25%
• Machine Learning Techniques 25%
• Momentum Strategy 50%
• Nominal Risk 25%
• Portfolio Optimization 25%
• Regime Switching 100%
• Risk Parity 25%
• Risk-adjusted Returns 50%
• Scaling Approach 25%
• Stock Price Crash Risk 50%
• Trend Filtering 25%
• Volatility Scaling 25%

Economics, Econometrics and Finance

• Investors 100%
• Machine Learning 50%
• Portfolio Selection 100%
• Regime Switching 100%
• Time Series 50%
• Volatility 50%