英文标题：
《Reward-risk momentum strategies using classical tempered stable
distribution》
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作者：
Jaehyung Choi, Young Shin Kim, Ivan Mitov
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最新提交年份：
2015
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英文摘要：
We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alternative portfolios are obtained in various asset classes and markets. The reward-risk momentum strategies with lower volatility levels outperform the traditional momentum strategy regardless of asset class and market. Additionally, the alternative portfolios are not only less riskier in risk measures such as VaR, CVaR and maximum drawdown but also characterized by thinner downside tails. Similar patterns in performance and risk profile are also found at the level of each ranking basket in the reward-risk portfolios. Higher factor-neutral returns achieved by the reward-risk momentum strategies are statistically significant and large portions of the performances are not explained by the Carhart four-factor model.
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中文摘要：
基于经典的稳定分布，我们使用奖励风险度量作为排名标准来实现动量策略。在不同的资产类别和市场中获得了备选投资组合的绩效和风险特征。无论资产类别和市场情况如何，波动水平较低的回报-风险动量策略都优于传统动量策略。此外，替代投资组合不仅在风险度量（如VaR、CVaR和最大提取）中风险较低，而且具有较薄的下行尾部。在奖励风险投资组合中，在每个排名篮的级别上也发现了类似的绩效和风险模式。通过奖励-风险-动量策略获得的更高因素中性回报在统计学上具有显著性，并且大部分业绩不能用Carhart四因素模型来解释。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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