Risk and return of a trend-chasing application in financial markets: an empirical test

Jukka Ilomäki

doi:10.1057/s41283-018-0036-1

Risk and return of a trend-chasing application in financial markets: an empirical test

Jukka Ilomäki

Research output: Contribution to journal › Article › Scientific › peer-review

2 Citations (Scopus)

Original language	English
Pages (from-to)	258-272
Journal	Risk Management
Volume	20
Issue number	3
DOIs	https://doi.org/10.1057/s41283-018-0036-1
Publication status	Published - 2018
Publication type	A1 Journal article-refereed

Keywords

Expected shortfall
Investment decision
Stock returns
Value-at-Risk
Volatility

Publication forum classification

Publication forum level 1

Access to Document

10.1057/s41283-018-0036-1

http://urn.fi/URN:NBN:fi:uta-201809032445

Cite this

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title = "Risk and return of a trend-chasing application in financial markets: an empirical test",

keywords = "Expected shortfall, Investment decision, Stock returns, Value-at-Risk, Volatility, Expected shortfall, Investment decision, Stock returns, Value-at-Risk, Volatility",

author = "Jukka Ilom{\"a}ki",

year = "2018",

doi = "10.1057/s41283-018-0036-1",

language = "English",

volume = "20",

pages = "258--272",

number = "3",

}

TY - JOUR

T1 - Risk and return of a trend-chasing application in financial markets: an empirical test

AU - Ilomäki, Jukka

PY - 2018

Y1 - 2018

KW - Expected shortfall

KW - Investment decision

KW - Stock returns

KW - Value-at-Risk

KW - Volatility

KW - Expected shortfall

KW - Investment decision

KW - Stock returns

KW - Value-at-Risk

KW - Volatility

U2 - 10.1057/s41283-018-0036-1

DO - 10.1057/s41283-018-0036-1

M3 - Article

SN - 1743-4637

VL - 20

SP - 258

EP - 272

JO - Risk Management

JF - Risk Management

IS - 3

ER -