EMA-type trading strategies maximize utility under partial information
Xiaodong Chen and Roger Lee
| Year of publication: |
2024
|
|---|---|
| Authors: | Chen, Xiaodong ; Lee, Roger |
| Published in: |
Peter Carr Gedenkschrift : research advances in mathematical finance. - New Jersey : World Scientific, ISBN 978-981-12-8029-0. - 2024, p. 511-536
|
| Subject: | EMA | EWMA | Exponentially weighted moving average | Kalman-Bucy filter | Partial information | Optimal trading | Expected utility maximization | Mean reversion | Momentum | Theorie | Theory | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Unvollkommene Information | Incomplete information | Nutzen | Utility | Stochastischer Prozess | Stochastic process | Mean Reversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015447051