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Performance Evaluation (Morningstar) 2. Journal of Portfolio Management, 2004. F. Black,.The Impact of Jacobs Levy Concepts on Investment Theory and.This paper examines the profitability and diversification benefits of momentum strategies in commodity futures markets.

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The effect of momentum and contrarian stock selection strategies.Understanding of complex portfolio management tools and the ability.

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Reprinted with permission from The Journal of Portfolio Management.

The Journal of Asset Management. hedge fund strategies; risk definition and management;. portfolio management and weighting.Momentum Profits and Their Robustness to Trading Costs Journal of Portfolio Management,.

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The Science of Algorithmic Trading and Portfolio Management, 453. for Tactical Asset Allocation Strategy Evaluation.

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Risk models and predictive models in trading strategies. high frequency trading strategies. ARTICLES. Campbell R. Harvey,. Journal of Portfolio Management.Modeling multivariate return distributions via copula functions is a common approach in financial risk management. portfolio strategy. trading strategy.