Trend following trading under a regime switching model
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Publication:3055872
DOI10.1137/090770552zbMATH Open1198.91246OpenAlexW2070173176MaRDI QIDQ3055872FDOQ3055872
Authors: Min Dai, Qiji J. Zhu, Q. Zhang 
Publication date: 10 November 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090770552
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Filtering in stochastic control theory (93E11) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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- Dynamic portfolio optimization across hidden market regimes
- A local radial basis function method for pricing options under the regime switching model
- An optimal strategy for pairs trading under geometric Brownian motions
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- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- Error analysis of finite difference scheme for American option pricing under regime-switching with jumps
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- Data-driven stock trading in financial markets: an adaptive control approach
- A Stochastic Approximation Approach for Trend-Following Trading
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- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
- The trader's problem
- Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods
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