Optimal Trend Following Trading Rules

DOI10.1287/moor.2015.0743zbMath1336.91063OpenAlexW3126146079MaRDI QIDQ2806822

Zhou Yang, Qiji J. Zhu, Min Dai, Qing Zhang

Publication date: 19 May 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e8444cf3da4b661321b8245c165a5a8a812c68e3

zbMATH Keywords

Hamilton-Jacobi-Bellman equationspartial informationbull-bear switching modeltrend following trading rule

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (8)

A Stochastic Approximation Approach for Trend-Following Trading ⋮ Optimal investment in markets with over and under-reaction to information ⋮ Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity ⋮ A renewal theory approach to two-state switching problems with infinite values ⋮ A Mathematical Analysis of Technical Analysis ⋮ Stochastic impulse control with regime-switching dynamics ⋮ Optimal Retirement Under Partial Information ⋮ Speculative trading, prospect theory and transaction costs

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Leverage management in a bull-bear switching market
• On the optimal stopping of a one-dimensional diffusion
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Optimal investment and consumption with transaction costs
• Trading a mean-reverting asset: buy low and sell high
• BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES
• Buy Low and Sell High
• Trend Following Trading under a Regime Switching Model
• Thou shalt buy and hold
• Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Portfolio Selection with Transaction Costs

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