Can Mean-Variance Portfolio Optimization with long-only constraint help enhance momentum strategy? Evidence from S&P 100
The paper found that, for the 10-year sample time period from 1/1/2010 to 12/27/2019, there were weakly significant (at significance level of 10%) evidence that the average excess return between winning portfolios with stock weight distributed using long-only mean-variance portfolio optimization (MV...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2020
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| Online Access: | https://eprints.nottingham.ac.uk/63092/ |