Dynamic Futures Portfolio in a Regime-Switching Market

Asset prices are often seen as being dependent on market conditions. Market regimes may change suddenly and persist for a period of time. The unpredictability of the timing of regime changes also means that associated risks are almost impossible to hedge.

Source: https://medium.com/quantitative-investing/dynamic-futures-portfolio-in-a-regime-switching-market-dc5453e84d89?source=rss——-8—————–cryptocurrency