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

DOI10.1016/J.EJOR.2015.10.045MaRDI QIDQ322504zbMATHOpenAlexFDO

Authors Constantin Mellios, Pierre Six, Anh Ngoc Lai

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

commodity spot pricesconvenience yielddynamic portfolio optimizationfutures pricesstochastic market prices of risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic programming (90C15) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 176006 (Why is no real title available?)
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• Optimal consumption and portfolio policies when asset prices follow a diffusion process
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Cited in

(12)

• Adaptive expectations and commodity risk premiums
• Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
• Model uncertainty on commodity portfolios, the role of convenience yield
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework
• Factor pricing in commodity futures and the role of liquidity
• Mean-variance hedging with oil futures
• Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
• A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH
• Hedging mean-reverting commodities
• Negative correlation between stock and futures returns: an unexploited hedging opportunity?
• Hedging with automatic liquidation and leverage selection on bitcoin futures

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