Optimal trading of a basket of futures contracts (Q2191860): Difference between revisions

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Property / arXiv ID: 1910.04943 / rank
 
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Property / cites work: Optimal dynamic basis trading / rank
 
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Property / cites work: Speculative futures trading under mean reversion / rank
 
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Property / cites work: Riccati differential equations / rank
 
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Latest revision as of 22:52, 25 July 2024

scientific article
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Optimal trading of a basket of futures contracts
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    Optimal trading of a basket of futures contracts (English)
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    26 June 2020
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    futures
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    stochastic basis
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    Brownian bridge
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    utility maximization
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