A trend-following strategy: conditions for optimality
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Publication:534275
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
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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