Optimal dynamic futures portfolio in a regime-switching market framework
Year of publication: |
2019
|
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Authors: | Leung, Tim ; Zhou, Yang |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 4, p. 1-27
|
Subject: | Futures trading | portfolio optimization | regime switching | stochastic control | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Kontrolltheorie | Control theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process |
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