scholarly journals A Stochastic Control Approach to Managed Futures Portfolios

2018 ◽  
Author(s):  
Tim Leung ◽  
Raphael Yan
Keyword(s):  
Stochastic Control ◽  
Managed Futures ◽  
Control Approach

scholarly journals A stochastic control approach to managed futures portfolios

2019 ◽  
Vol 06 (01) ◽  
pp. 1950005 ◽  
Author(s):  
Tim Leung ◽  
Raphael Yan
Keyword(s):  
Stochastic Control ◽  
Utility Maximization ◽  
Commodity Prices ◽  
Trading Strategies ◽  
Maximization Problem ◽  
Convenience Yield ◽  
Yield Model ◽  
Managed Futures ◽  
Control Approach ◽  
Utility Maximization Problem

We study a stochastic control approach to managed futures portfolios. Building on the (Schwartz, 1997) stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite horizon. By analyzing the associated Hamilton–Jacobi–Bellman (HJB) equation, we solve the investor’s utility maximization problem explicitly and derive the optimal dynamic trading strategies in closed form. We provide numerical examples and illustrate the optimal trading strategies using WTI crude oil futures data.

scholarly journals Stochastic Control for DC–DC Power Converters: A Generalized Minimum Variance Control Approach

2020 ◽  
Vol 53 (2) ◽  
pp. 13410-13417
Author(s):  
Kevin E. Lucas ◽  
Daniel J. Pagano ◽  
Douglas A. Plaza ◽  
David Alejandro Vaca—Benavides ◽  
Sara J. Ríos
Keyword(s):  
Stochastic Control ◽  
Power Converters ◽  
Minimum Variance ◽  
Control Approach ◽  
Minimum Variance Control ◽  
Dc Power

A Stochastic Control Approach to Optimally Designing Hierarchical Flash Sets in P300 Communication Prostheses

2012 ◽  
Vol 20 (1) ◽  
pp. 102-112 ◽  
Author(s):  
Rui Ma ◽  
Navid Aghasadeghi ◽  
Julian Jarzebowski ◽  
Timothy Bretl ◽  
Todd P. Coleman
Keyword(s):  
Stochastic Control ◽  
Control Approach

scholarly journals Optimal pairs trading: A stochastic control approach

2008 ◽  
Author(s):  
Supakorn Mudchanatongsuk ◽  
James A. Primbs ◽  
Wilfred Wong
Keyword(s):  
Stochastic Control ◽  
Pairs Trading ◽  
Control Approach

Pension funds with a minimum guarantee: a stochastic control approach

2010 ◽  
Vol 15 (2) ◽  
pp. 297-342 ◽  
Author(s):  
Marina Di Giacinto ◽  
Salvatore Federico ◽  
Fausto Gozzi
Keyword(s):  
Stochastic Control ◽  
Pension Funds ◽  
Control Approach
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