Optimal dynamic basis trading

DOI10.1007/s10436-019-00348-xzbMath1426.91260arXiv1809.05961OpenAlexW2889900257MaRDI QIDQ2334405

Bahman Angoshtari, Tim Leung

Publication date: 7 November 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.05961

zbMATH Keywords

risk aversionfuturesscaled Brownian bridgestochastic basiscash and carry

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Optimal trading of a basket of futures contracts ⋮ Optimal pairs trading of mean-reverting processes over multiple assets ⋮ Constrained dynamic futures portfolios with stochastic basis ⋮ Optimal bitcoin trading with inverse futures ⋮ OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK

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