Yuxuan Dai

Evaluating Time-Series Momentum in S&P 500 Stocks: Mean-Variance Optimization, Transaction Costs, and Market Regimes

As a classic trend‑following strategy, the time‑series momentum (TSMOM) strategy poses an empirical challenge to the efficient‑market hypothesis. Most existing back‑testing studies focus heavily on index and futures markets, while empirical research specifically targeting individual stocks remains limited, and the impa...