Optimal dynamic futures portfolio in a regime-switching market framework
Tim Leung and Yang Zhou
| Year of publication: |
2019
|
|---|---|
| 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 | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786319500348 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314525