Design and Validation of Ranking Statistical Families for Momentum-Based Portfolio Selection

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dc.contributor.advisorThompson, James R.en_US
dc.contributor.committeeMemberDobelman, John A.en_US
dc.contributor.committeeMemberWilliams, Edward E.en_US
dc.creatorTooth, Sarahen_US
dc.date.accessioned2013-07-24T19:49:20Zen_US
dc.date.accessioned2013-07-24T19:49:24Zen_US
dc.date.available2013-07-24T19:49:20Zen_US
dc.date.available2013-07-24T19:49:24Zen_US
dc.date.created2012-12en_US
dc.date.issued2013-07-24en_US
dc.date.submittedDecember 2012en_US
dc.date.updated2013-07-24T19:49:24Zen_US
dc.description.abstractIn this thesis we will evaluate the effectiveness of using daily return percentiles and power means as momentum indicators for quantitative portfolio selection. The statistical significance of momentum strategies has been well-established, but in this thesis we will select the portfolio size and holding period based on current (2012) trading costs and capital gains tax laws for an individual in the United States to ensure the viability of using these strategies. We conclude that the harmonic mean of daily returns is a superior momentum indicator for portfolio construction over the 1970-2011 backtest period.en_US
dc.format.mimetypeapplication/pdfen_US
dc.identifier.citationTooth, Sarah. "Design and Validation of Ranking Statistical Families for Momentum-Based Portfolio Selection." (2013) Master’s Thesis, Rice University. <a href="https://hdl.handle.net/1911/71697">https://hdl.handle.net/1911/71697</a>.en_US
dc.identifier.slug123456789/ETD-2012-12-325en_US
dc.identifier.urihttps://hdl.handle.net/1911/71697en_US
dc.language.isoengen_US
dc.rightsCopyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.en_US
dc.subjectPortfolio selectionen_US
dc.subjectMomentum investingen_US
dc.subjectInvestingen_US
dc.subjectStock selectionen_US
dc.subjectPortfolio managementen_US
dc.titleDesign and Validation of Ranking Statistical Families for Momentum-Based Portfolio Selectionen_US
dc.typeThesisen_US
dc.type.materialTexten_US
thesis.degree.departmentStatisticsen_US
thesis.degree.disciplineEngineeringen_US
thesis.degree.grantorRice Universityen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Artsen_US
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