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A stochastic control approach to managed futures portfolios
Leung, Tim; Yan, Raphael - In: International journal of financial engineering 6 (2019) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012028856
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Cross-commodity analysis and applications to risk management
Börger, Reik H.; Cartea, Álvaro; Kiesel, Rüdiger; … - In: The journal of futures markets 29 (2009) 3, pp. 197-217
Persistent link: https://www.econbiz.de/10003831083
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A multivariate commodity analysis and applications to risk management
Börger, Reik H.; Cartea, Álvaro; Kiesel, Rüdiger; … - 2007
Persistent link: https://www.econbiz.de/10003455322
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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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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