Optimal dynamic futures portfolio under a multifactor Gaussian framework
Tim Leung, Raphael Yan and Yang Zhou
| Year of publication: |
2021
|
|---|---|
| Authors: | Leung, Tim ; Yan, Raphael ; Zhou, Yang |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 5, p. 1-27
|
| Subject: | Futures | portfolio optimization | stochastic control | gaussian processes | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Theorie | Theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902492150028X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012662043