Optimal bitcoin trading with inverse futures

DOI10.1007/s10479-021-04125-wzbMath1475.91354OpenAlexW3164072276MaRDI QIDQ2241555

Bin Zou, Shu-yu Zhang, Jun Deng, Huifeng Pan

Publication date: 9 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04125-w

zbMATH Keywords

utility maximizationoptimal investmentbitcoininverse futures

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Hedging with automatic liquidation and leverage selection on bitcoin futures

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