Risk-managed momentum in commodity futures: can a risk-managed momentum strategy with target volatility be applied to commodity futures to generate excess returns and reduce crash risk?

Additional Metadata
Keywords	Commodities, Futures, Momentum, Volatility
Thesis Advisor	Szymanowska, M., Wang, Y.
Persistent URL	hdl.handle.net/2105/31584
Series	Finance & Investments
Organisation	Rotterdam School of Management
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Geenen, E.J.L. (2015, July 23). Risk-managed momentum in commodity futures: can a risk-managed momentum strategy with target volatility be applied to commodity futures to generate excess returns and reduce crash risk?. Finance & Investments. Retrieved from http://hdl.handle.net/2105/31584

Risk-managed momentum in commodity futures