Optimal trading of a basket of futures contracts (Q2191860)

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scientific article
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English
Optimal trading of a basket of futures contracts
scientific article

    Statements

    title
    Optimal trading of a basket of futures contracts (English)
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    author
    Bahman Angoshtari
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    Tim Leung
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    publication date
    26 June 2020
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    zbMATH Keywords
    futures
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    stochastic basis
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    Brownian bridge
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    utility maximization
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    Identifiers

    zbMATH DE Number
    7215255
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    OpenAlex ID
    W2998396803
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    arXiv ID
    1910.04943
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    Wikidata QID
    Q126420540
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