Can Mean-Variance Portfolio Optimization with long-only constraint help enhance momentum strategy? Evidence from S&P 100

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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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Bibliographic Details
Main Author:	Le, Khanh
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2020
Online Access:	https://eprints.nottingham.ac.uk/63092/

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