A note on the performance of regime switching hedge strategy
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Futures Markets.
Volume (Year): 32 (2012)
Issue (Month): 4 (04)
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Web page: http://www.interscience.wiley.com/jpages/0270-7314/
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- Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
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