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 Award | Jul 2022 |
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| Original language | English |
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| Awarding Institution | - Queen's University Belfast
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| Supervisor | Fearghal Kearney (Supervisor) & Jiadong Liu (Supervisor) |
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Risk-adjusted momentum, portfolio optimisation and multiple hypothesis testing controls in financial markets
Fan, M. (Author). Jul 2022
Student thesis: Doctoral Thesis › Doctor of Philosophy