Optimal dynamic futures portfolio under a multifactor Gaussian framework

DOI10.1142/S021902492150028XMaRDI QIDQ5157844zbMATH OpenOpenAlexFDO

Authors Tim Leung, Yang Zhou

Publication date 20 October 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902492150028x

zbMATH Keywords

futuresGaussian processesportfolio optimizationstochastic control

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

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Cites work

• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
• Algorithmic trading of co-integrated assets
• High-dimensional statistical arbitrage with factor models and stochastic control
• scientific article; zbMATH DE number 2133106 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• On an Identity for Stochastic Integrals
• Optimal dynamic basis trading
• Optimal trading of a basket of futures contracts
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic differential equations. An introduction with applications

Cited in

(7)

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• Optimal futures innovation in a dynamic economy: The discrete-time case
• Optimal trading of a basket of futures contracts
• A class of portfolio selection with a four-factor futures price model
• Constrained dynamic futures portfolios with stochastic basis
• scientific article; zbMATH DE number 5371071 (Why is no real title available?)
• Optimal portfolios in commodity futures markets

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