A stochastic control approach to managed futures portfolios
Tim Leung and Raphael Yan
| Year of publication: |
2019
|
|---|---|
| Authors: | Leung, Tim ; Yan, Raphael |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 1, p. 1-22
|
| Subject: | Commodity futures | dynamic portfolios | trading strategies | utility maximization | Portfolio-Management | Portfolio selection | Rohstoffderivat | Commodity derivative | Theorie | Theory | Derivat | Derivative | Anlageverhalten | Behavioural finance | Hedging | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786319500051 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012028856