Risk-adjusted momentum, portfolio optimisation and multiple hypothesis testing controls in financial markets

Student thesis: Doctoral ThesisDoctor of Philosophy


To summarise, this thesis contributes to the literature in the areas of momentum, portfolio construction and financial econometrics. 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.

Date of AwardJul 2022
Original languageEnglish
Awarding Institution
  • Queen's University Belfast
SupervisorFearghal Kearney (Supervisor) & Jiadong Liu (Supervisor)

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