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09-011/4 - Robust Optimization of the Equity Momentum Strategy


  • Authors
    Arco van Oord, Erasmus University Rotterdam; Martin Martens, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam
  • Publication date
    February 12, 2009
  • Keywords
    quadratic optimization, momentum strategy, robust optimization
  • JEL
    G11