Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

DOI10.1016/j.ejor.2015.10.045zbMath1346.91237MaRDI QIDQ322504

Anh Ngoc Lai, Constantin Mellios, Pierre Six

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.10.045

zbMATH Keywords

futures prices; commodity spot prices; convenience yield; dynamic portfolio optimization; stochastic market prices of risk

Mathematics Subject Classification ID

90C15: Stochastic programming

91B24: Microeconomic theory (price theory and economic markets)

93E20: Optimal stochastic control

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Model uncertainty on commodity portfolios, the role of convenience yield, Hedging with automatic liquidation and leverage selection on bitcoin futures, Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield, Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods

Cites Work

• Unnamed Item
• Portfolio optimization in a regime-switching market with derivatives
• Optimal hedging and equilibrium in a dynamic futures market
• Futures markets and commodity options: Hedging and optimality in incomplete markets
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Mean-variance hedging in continuous time
• A dynamic programming approach to constrained portfolios
• Portfolio selection with skewness: a comparison of methods and a generalized one fund result
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Dynamic asset allocation for varied financial markets under regime switching framework
• Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Energy futures prices: term structure models with Kalman filter estimation
• Changes of numéraire, changes of probability measure and option pricing
• On optimal portfolio choice under stochastic interest rates