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Optimal Trend Following Trading Rules

  • Published:2016-05 Issue:2 Volume:41 Page:626-642
  • ISSN:0364-765X
  • Container-title:Mathematics of Operations Research
  • language:en
  • Short-container-title:Mathematics of OR

Author:

Dai Min,Yang Zhou,Zhang Qing,Zhu Qiji Jim

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Reference21 articles.

1. Chen Y, Dai M, Gonçalves-Pinto L (2013) Portfolio selection with unobservable bull-bear regimes. Working paper, National University of Singapore.

2. Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem

3. Leverage management in a bull–bear switching market

4. Trend Following Trading under a Regime Switching Model

5. Buy Low and Sell High

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1. Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market;Journal of Economic Dynamics and Control;2024-01

2. Optimal trend-following with transaction costs;International Review of Financial Analysis;2023-11

3. Variational inequality problems in finance;SCIENTIA SINICA Mathematica;2023-09-01

4. Speculative trading, prospect theory and transaction costs;Finance and Stochastics;2022-12-15

5. Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity;SIAM Journal on Financial Mathematics;2022-08-01
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