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</o:shapelayout></xml><![endif]--></head><body lang=IT link=blue vlink=purple><div class=WordSection1><p class=MsoTitle><span style='font-size:18.0pt;font-family:"Times New Roman","serif"'>NO FREE LUNCH SEMINAR</span><span style='font-size:18.0pt;font-family:"Times New Roman","serif";font-weight:normal;text-decoration:none'><o:p></o:p></span></p><p class=MsoTitle><span style='font-size:16.0pt;font-family:"Times New Roman","serif";font-weight:normal;text-decoration:none'>seminari di finanza quantitativa<o:p></o:p></span></p><p class=MsoTitle><span style='font-size:10.0pt;font-family:"Times New Roman","serif"'><o:p><span style='text-decoration:none'> </span></o:p></span></p><h2><span style='font-family:"Times New Roman","serif"'>Mercoledì 10 settembre 2014</span><span style='font-family:"Times New Roman","serif"'><o:p></o:p></span></h2><p class=MsoNormal align=center style='margin-left:9.0pt;text-align:center;line-height:18.0pt'><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'>ore 13.00<o:p></o:p></span></p><p class=MsoNormal align=center style='margin-left:9.0pt;text-align:center;line-height:18.0pt'><u><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'>Scuola Normale Superiore<o:p></o:p></span></u></p><p class=MsoNormal align=center style='margin-left:9.0pt;text-align:center;line-height:18.0pt'><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'>Pisa<o:p></o:p></span></p><p class=MsoNormal align=center style='margin-left:9.0pt;text-align:center;line-height:18.0pt'><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'>Aula Mancini<o:p></o:p></span></p><p class=MsoNormal><b><u><span style='font-size:10.0pt;font-family:"Times New Roman","serif"'><o:p><span style='text-decoration:none'> </span></o:p></span></u></b></p><p class=MsoNormal align=center style='text-align:center'><b><span lang=EN-US style='font-size:22.0pt;font-family:"Times New Roman","serif"'>Xuezhong He<o:p></o:p></span></b></p><pre style='text-align:center'><i><span lang=EN-US style='font-size:12.0pt;font-family:"Times New Roman","serif"'>University of Technology, Sydney (Australia)<o:p></o:p></span></i></pre><p class=MsoNormal><i><span lang=EN-US style='font-size:12.0pt;font-family:"Times New Roman","serif"'><o:p> </o:p></span></i></p><p class=MsoNormal align=center style='text-align:center'><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'>Terrà un seminario dal titolo:<o:p></o:p></span></p><p class=MsoNormal><span style='font-size:12.0pt;font-family:"Times New Roman","serif"'><o:p> </o:p></span></p><pre style='text-align:center'><b><i><span lang=EN-US style='font-size:18.0pt;font-family:"Times New Roman","serif"'>“</span></i></b><b><span lang=EN-US style='font-size:18.0pt;font-family:"Times New Roman","serif"'>OPTIMALITY OF MOMENTUM AND REVERSAL<i>”</i><o:p></o:p></span></b></pre><p class=MsoNormal style='text-align:justify'><b><i><span lang=EN-US style='font-size:18.0pt;font-family:"Times New Roman","serif"'><o:p> </o:p></span></i></b></p><p class=MsoNormal style='text-align:justify'><b><i><span lang=EN-US style='font-size:22.0pt;font-family:"Times New Roman","serif"'><o:p> </o:p></span></i></b></p><p class=MsoNormal style='text-align:justify'><b><i><span lang=EN-US style='font-size:10.0pt;font-family:"Times New Roman","serif"'>Abstract:<o:p></o:p></span></i></b></p><p class=MsoNormal style='text-align:justify'><span lang=EN-US style='font-family:"Times New Roman","serif"'>We develop a continuous-time asset price model to capture short-run momentum and long-run reversal. By studying a dynamic asset allocation problem, we derive the optimal investment strategy in closed form and show that the combined momentum and reversal strategies are optimal. We then estimate the model to the S&P 500 and demonstrate that, by taking the timing opportunity with respect to trend in return and market volatility, the optimal strategies outperform not only pure momentum and pure mean reversion strategies, but also the market index and time series momentum strategy. Furthermore we show that the optimality also holds to the out-of-sample tests and short-sale constraints and the out performance is immune to market states, investor sentiment and market volatility. </span><span lang=EN-US style='font-size:12.0pt;font-family:"Times New Roman","serif"'><o:p></o:p></span></p><p class=MsoNormal style='text-align:justify'><span lang=EN-US style='font-family:"Times New Roman","serif"'><o:p> </o:p></span></p><p class=MsoNormal style='text-align:justify'><span lang=EN-US style='font-family:"Times New Roman","serif"'><o:p> </o:p></span></p><p class=MsoNormal style='text-align:justify'><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'>Tutti gli interessati sono invitati a partecipare.</span><span style='font-family:"Times New Roman","serif"'><o:p></o:p></span></p><p class=MsoBodyText><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'><o:p> </o:p></span></p><p class=MsoBodyText><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'><o:p> </o:p></span></p><p class=MsoBodyText><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'>Classe di Scienze<o:p></o:p></span></p><p class=MsoBodyText><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'><o:p> </o:p></span></p><p class=MsoBodyText><span style='font-size:16.0pt;font-family:"Times New Roman","serif"'><o:p> </o:p></span></p><p class=MsoNormal><o:p> </o:p></p><p class=MsoNormal><o:p> </o:p></p><p class=MsoNormal><span style='mso-fareast-language:IT'>Valeria Giuliani<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>Scuola Normale Superiore<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>Servizio alla Didattica e Allievi<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>Tel. 050-509260<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>Piazza dei Cavalieri, 7<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>56126 Pisa<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>E-Mail: v.giuliani@sns.it<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>E-Mail: classi@sns.it<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'> <o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>Le informazioni contenute nella presente e-mail e nei relativi allegati possono essere riservate e sono, comunque, destinate esclusivamente al destinatario in indirizzo.<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>E’ vietata, pertanto, la diffusione, distribuzione e/o copiatura di tali informazioni da parte di qualsiasi soggetto diverso dal destinatario.<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>Chiunque abbia ricevuto o letto questa e-mail per errore o senza esserne legittimato è invitato a darne immediatamente notizia al mittente tramite fax o e-mail e a distruggerla.<o:p></o:p></span></p><p class=MsoNormal><span style='mso-fareast-language:IT'>Grazie.<o:p></o:p></span></p><p class=MsoNormal><o:p> </o:p></p></div></body></html>