Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
From MaRDI portal
Publication:322504
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
futures prices; commodity spot prices; convenience yield; dynamic portfolio optimization; stochastic market prices of risk
90C15: Stochastic programming
91B24: Microeconomic theory (price theory and economic markets)
93E20: Optimal stochastic control
91G20: Derivative securities (option pricing, hedging, etc.)
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
