Optimal trading of a basket of futures contracts

Bahman Angoshtari, Tim Leung

Year of publication:	2020
Authors:	Angoshtari, Bahman ; Leung, Tim
Published in:	Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 16.2020, 2, p. 253-280
Subject:	Futures \| Stochastic basis \| Brownian bridge \| Utility maximization \| Stochastischer Prozess \| Stochastic process \| Derivat \| Derivative \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Hedging \| Warenbörse \| Commodity exchange

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