A trend-following strategy: conditions for optimality

DOI10.1016/j.automatica.2011.01.039zbMath1213.91141OpenAlexW1968241626MaRDI QIDQ534275

Qing Zhang, Hoi Tin Kong, G. George Yin

Publication date: 17 May 2011

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2011.01.039

zbMATH Keywords

quasi-variational inequalityregime-switching processtrend-following strategy

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Portfolio theory (91G10)

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