OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK

DOI10.1142/S021902492150028XzbMath1471.91574OpenAlexW3198867628MaRDI QIDQ5157844

Yang Zhou, Unnamed Author, Tim Leung

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

Gaussian processesstochastic controlportfolio optimizationfutures

Mathematics Subject Classification ID

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

Related Items (1)

Constrained dynamic futures portfolios with stochastic basis

Cites Work

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• High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control
• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model

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