Which of the following statements are true? i) A time-varying look-back period seems a good...
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Which of the following statements are true? i) A time-varying look-back period seems a good option, but it does not always have an economic meaning. ii) A cross-validation exercise can be useful in the choice of a look-back period. iii) A time-varying look-back period always adapts to the most recent market conditions. IV) Momentum investment strategies are always profitable since we can either exploit the cross-sectional or the Time Series Momentum and obtain optimal hedge ratios. Select one: O a. True, (ii) True (111) False (iv) False O b. False, (i) False (111) True, (iv) True Oc(iFalse, True (1) True, (iv) True O d. False, (D) True, (iii) True, (iv) False O e. O False, ) True, (ii) False, (iv) True Of. 0 False, (D) False (1) False, (iv) False O g. () True, (ii) False, (iii) True, (iv) True O h. (0) True, (ii) True, (ii) True, (iv) False
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