Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk
by Gary Antonacci
NOTES
PREFACE
1. “Why Buy and Hold Doesn’t Work Anymore,” Money Magazine, March 2012.
2. Fama and French (2008).
CHAPTER 1
1. For more than you could ever want to know about the first index mutual fund, see John Bogle’s write-up at http://www.vanguard.com/bogle_site/lib/sp19970401.html.
2. Unsustainable growth rates assumptions, such as those occurring in bubbles, challenge rational expectations that underlie the efficient market hypothesis.
3. In Bachelier’s work, we find the Chapman-Kolmogorov-Smoluchowski equation for continuous stochastic processes, derivation of the Einstein-Wiener Brownian motion process, and recognition that this process is a solution for the partial differential equation for heat diffusion. ...
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