Trends and Risk Premia: Update and Additional Plots

Trends and Risk Premia: Update and Additional Plots

Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years, the second is about the correlation between the profitability of "Risk Premia" and their skewness. In this s...

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Veröffentlicht in:arXiv.org 2017-08
Hauptverfasser: Tung-Lam, Dao, Hoehener, Daniel, Lempérière, Yves, Trung-Tu Nguyen, Seager, Philip, Bouchaud, Jean-Philippe
Format: Artikel
Sprache:eng
Schlagworte:
Profitability
Risk premiums
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Beschreibung
Zusammenfassung:Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years, the second is about the correlation between the profitability of "Risk Premia" and their skewness. In this short note, we present two additional plots that fully corroborate our findings on new data.
ISSN:2331-8422