EMA-type trading strategies maximize utility under partial information

DOI10.3934/fmf.2023005zbMath1519.91239OpenAlexW4323649464MaRDI QIDQ6105379

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Publication date: 26 June 2023

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2023005

zbMATH Keywords

mean reversionmomentumpartial informationoptimal tradingKalman-Bucy filterexpected utility maximizationexponentially weighted moving averageEWMAEMA

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Financial markets (91G15)

Cites Work

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• Momentum and Mean Reversion in Strategic Asset Allocation
• When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method
• A Mathematical Analysis of Technical Analysis
• PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS

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