"Optimal Allocation of a Futures Portfolio Utilizing Numerical Market Phase ..."

Lars Putzig, Dirk Becherer, Illia Horenko (2010)

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DOI: 10.1137/090754029

access: closed

type: Journal Article

metadata version: 2018-11-02

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Lars Putzig, Dirk Becherer, Illia Horenko:
Optimal Allocation of a Futures Portfolio Utilizing Numerical Market Phase Detection. SIAM J. Financial Math. 1(1): 752-779 (2010)

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