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Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong; Leung, Tim; Zhou, Yang - In: Annals of finance 18 (2022) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
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Optimal trading of a basket of futures contracts
Angoshtari, Bahman; Leung, Tim - In: Annals of finance 16 (2020) 2, pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
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Optimal dynamic basis trading
Angoshtari, Bahman; Leung, Tim - In: Annals of finance 15 (2019) 3, pp. 307-335
Persistent link: https://www.econbiz.de/10012240079
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Optimal risk-averse timing of an asset sale : trending versus mean-reverting price dynamics
Leung, Tim; Wang, Zheng - In: Annals of finance 15 (2019) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012058167
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Optimal mean-reverting spread trading : nonlinear integral equation approach
Kitapbayev, Yerkin; Leung, Tim - In: Annals of finance 13 (2017) 2, pp. 181-203
Persistent link: https://www.econbiz.de/10011944976