Data · dataset · 2026
Risk-adjusted momentum, portfolio optimisation and multiple hypothesis testing controls in financial markets
Listed in ZivaHub and Deakin Research Online and DMU Figshare and UCL Research Data Repository — shown once because both records carry DOI 10.17034/32632683.v1
To summarise, this thesis contributes to the literature in the areas of momentum, portfolio construction and financial econometrics.
Description
We propose effective methods to mitigate momentum risks and improve momentum profits. To ensure that the improvements are not affected by false discoveries, we assess a variety of Multiple Hypothesis Testing (MHT) approaches and adopt the most desirable one to control for potential Type I errors.
This thesis also emphasises the role of momentum across multiple asset classes and inspires new studies in momentum investment.<br><br><br>
Links
Where it is published
- DOI doi.org/10.17034/32632683.v1 ↗
DOI / persistent id · from zivahub uct ac za
Catalogue records · 1
- OAI-PMH record api.figshare.com/v2/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai%3Af… ↗
metadata API · from zivahub uct ac za
Topics
Provenance · 4 source records, 8 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| ZivaHub | oai:figshare.com:article/32632683 | 12 d ago | JSON v1 |
| Deakin Research Online | oai:figshare.com:article/32632683 | 12 d ago | JSON v1 |
| DMU Figshare | oai:figshare.com:article/32632683 | 12 d ago | JSON v1 |
| UCL Research Data Repository | oai:figshare.com:article/32632683 | 12 d ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| concepts[field].local:field:earth-environmental | mapping · rdr ucl ac uk | connector:rdr_ucl_ac_uk@1.0.0 | |
| concepts[field].local:field:earth-environmental | mapping · zivahub uct ac za | connector:zivahub_uct_ac_za@1.0.0 | |
| concepts[field].local:field:earth-environmental | mapping · dro deakin edu au | connector:dro_deakin_edu_au@1.0.0 | |
| concepts[field].local:field:earth-environmental | mapping · figshare dmu ac uk | connector:figshare_dmu_ac_uk@1.0.0 | |
| description | source · zivahub uct ac za | connector:zivahub_uct_ac_za@1.0.0 | /metadata/dc/description |
| license_text | source · zivahub uct ac za | connector:zivahub_uct_ac_za@1.0.0 | |
| publication_date | source · zivahub uct ac za | connector:zivahub_uct_ac_za@1.0.0 | |
| title | source · zivahub uct ac za | connector:zivahub_uct_ac_za@1.0.0 | /metadata/dc/title |