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A Stochastic Control Approach to Managed Futures Portfolios
| Content Provider | Scilit |
|---|---|
| Author | Leung, Tim Yan, Raphael |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal We study a stochastic control approach to managed futures portfolios. Building on the Schwartz (1997) stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite horizon. By analyzing the associated Hamilton-Jacobi-Bellman (HJB) equation, we solve the investor's utility maximization problem explicitly and derive the optimal dynamic trading strategies in closed form. We provide numerical examples and illustrate the optimal trading strategies using WTI crude oil futures data. |
| Related Links | http://arxiv.org/pdf/1811.01916 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3274326 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3274326 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-10-28 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Commodity Futures Dynamic Portfolios Trading Strategies Utility Maximization |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |