A Stochastic Approximation Approach for Trend-Following Trading

DOI10.1007/978-1-4899-7442-6_7zbMath1418.91484OpenAlexW1940285523MaRDI QIDQ4562480

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Publication date: 21 December 2018

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_7

zbMATH Keywords

stochastic approximationstock pricesharpe ratiosample pathbear market

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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