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【Operations Research】Optimal Dynamic Momentum Strategies

2022-10-14 12:51  点击:[]


作者:李凯(麦考瑞大学应用金融系;西南财经大学金融研究院)Jun Liu(Rady School of Management, University of California San Diego)


摘要:

We explicitly solve for the optimal dynamic trading strategy between a riskless asset and a risky asset with momentum. The optimal portfolio weight depends not only on the momentum, as in Merton’s framework, but also on the historical price path; this contrasts with Merton. Because of their path dependence, optimal portfolio weights have a wide distribution for a given level of momentum; for example, investors may short the risky asset if it has rebound price paths but leverage if it has hump-shaped price paths. This effect tends to be the most significant after large price swings. Path dependence is solved with explicit formulas and presented with heuristic statistics.


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