Browsing NTNU Open by Author "Rønning, Håkon Sverre"
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On Algorithmic Portfolio Optimization for a Momentum Investor - a Stochastic Programming Approach with Moment-Matching Scenario Generation
Rønning, Håkon Sverre (Master thesis, 2016)Momentum strategies based on continuation patterns in equity prices have attracted a wide following among money managers and financial investors attempting to exploit anomalies present in the stock market. In this thesis, ...