Optimal trend-following trading rules under a three-state regime switching model

DOI10.3934/MCRF.2012.2.81zbMath1246.91122OpenAlexW2016109459MaRDI QIDQ450062

Jie Yu, Qing Zhang

Publication date: 3 September 2012

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2012.2.81

zbMATH Keywords

quasi-variational inequalityregime-switching processtrend-following strategy

Mathematics Subject Classification ID

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

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