Optimal dynamic futures portfolio in a regime-switching market framework.
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| Title: | Optimal dynamic futures portfolio in a regime-switching market framework. |
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| Authors: | Leung, Tim1 (AUTHOR) timleung@uw.edu, Zhou, Yang1 (AUTHOR) yzhou7@uw.edu |
| Source: | International Journal of Financial Engineering. Dec2019, Vol. 6 Issue 4, pN.PAG-N.PAG. 27p. |
| Database: | Mathematics Source |
| ISSN: | 24247863 |
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| DOI: | 10.1142/S2424786319500348 |
