Constrained dynamic futures portfolios with stochastic basis
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DOI: 10.1007/s10436-021-00398-0
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More about this item
Keywords
Futures portfolio; Futures basis; Portfolio constraints; Utility maximization;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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