报告题目：Optimal Time Series Momentum and Reversal
时 间：2015年12月9日（星期三）下午 4：30
地 点：齐云楼911 报告厅
Abstract： We develop a continuous-time asset price model to capture the time series momentum documented recently. The underlying stochastic delay model facilitates the analysis of effects of different time horizons used by momentum trading. By studying an optimal asset allocation problem, we find that the performance of time series momentum strategy can be significantly improved by combining with market fundamentals and timing opportunity with respect to market trend and volatility. The results also hold for different time horizons, the out-of-sample tests and with short-sale constraints. Furthermore, the outperformance of the optimal strategy is immune to market states, investor sentiment and market volatility.
Key words: Momentum, reversal, optimal asset allocation, profitability.
Youwei Li is a senior lecturer in finance at the School of Management of Queen’s University Belfast. His research interests includes: Agent-based modelling of financial markets; Empirical asset pricing; Longevity risk; Market microstructure; and Quantitative finance. Youwei Li has published in Journal of Empirical Finance, Journal of Economic Dynamics and Control, Quantitative Finance, The Financial Review, Insurance: Mathematics and Economics, Journal of International Financial Markets, Institutions & Money. Youwei Li’s research has been funded by European Commission, Australia Research Council, and UK Economic and Social Research Council.