Trend Following Trading under a Regime Switching Model
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Publication:3055872
DOI10.1137/090770552zbMath1198.91246OpenAlexW2070173176MaRDI QIDQ3055872
Min Dai, Qiji J. Zhu, Qing 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
Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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