Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

DOI10.1016/j.ejor.2015.10.045zbMath1346.91237OpenAlexW1963105924MaRDI 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

zbMATH Keywords

futures pricescommodity spot pricesconvenience yielddynamic portfolio optimizationstochastic market prices of risk

Mathematics Subject Classification ID

Stochastic programming (90C15) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield ⋮ Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods ⋮ Model uncertainty on commodity portfolios, the role of convenience yield ⋮ Hedging with automatic liquidation and leverage selection on bitcoin futures

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

This page was built for publication: Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield