Optimal trend-following trading rules under a three-state regime switching model (Q450062)
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scientific article; zbMATH DE number 6075642
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| English | Optimal trend-following trading rules under a three-state regime switching model |
scientific article; zbMATH DE number 6075642 |
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Optimal trend-following trading rules under a three-state regime switching model (English)
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3 September 2012
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regime-switching process
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quasi-variational inequality
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trend-following strategy
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0.8880898952484131
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0.8785513043403625
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0.8489025235176086
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0.7792370319366455
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0.7591338753700256
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