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  • Pedro Barroso, Pedro Santa-Clara, +10 authors Robert Kosowski
  • 2015
Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually(More)
Among the most important tropical fruit grown in the world today and in Brazil, papaya occupies a prominent place. Native to tropical America, papaya has spread to several regions of the world, and Brazil accounts for 12.74% of the world production, followed by Mexico, Nigeria and India. The culture reached a harvested area of 441,042 ha and production of(More)
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