Leverage management in a bull-bear switching market
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Publication:311005
DOI10.1016/J.JEDC.2012.04.004zbMATH Open1345.91068OpenAlexW3124552150MaRDI QIDQ311005FDOQ311005
Zhou Yang, Hefei Wang, Min Dai
Publication date: 28 September 2016
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2012.04.004
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- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
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- Leverage management
- Trend Following Trading under a Regime Switching Model
- Continuous-Time Markowitz's Model with Transaction Costs
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- Investment Strategies under Transaction Costs: The Finite Horizon Case
- Penalty methods for continuous-time portfolio selection with proportional transaction costs
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