Optimal dynamic futures portfolio under a multifactor Gaussian framework (Q5157844)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7411936
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal dynamic futures portfolio under a multifactor Gaussian framework |
scientific article; zbMATH DE number 7411936 |
Statements
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK (English)
0 references
20 October 2021
0 references
futures
0 references
portfolio optimization
0 references
stochastic control
0 references
Gaussian processes
0 references
0.8659611940383911
0 references
0.8542178869247437
0 references
0.8258282542228699
0 references
0.8140060305595398
0 references
0.8121249675750732
0 references
