Dynamic Optimization Multissset Momentum Portfolio

Student: Emzesheva Anna

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2019

Analysis of the momentum effect for various asset classes: stocks, REITs (Real Estate Investment Trusts) and currencies. For each class of assets, momentum strategies are modified to increase the resulting return. The main objective of the study is to optimize the momentum of a portfolio from different asset classes, which bring more profit than individual momentum portfolios in each asset class.

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