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A forward dynamic optimization strategy under contango storage arbitrage with frictions
Ghafouri, Behzad; Davison, Matt - In: The journal of energy markets 10 (2017) 3, pp. 59-85
Persistent link: https://www.econbiz.de/10011999461
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Robust portfolios with commodities and stochastic interest rates
Chen, Junhe; Davison, Matt; Escobar, Marcos; Zafari, Golara - In: Quantitative finance 21 (2021) 6, pp. 991-1010
Persistent link: https://www.econbiz.de/10012515629