Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
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- 作者：Constantin Melliosa ; constantin.mellios@univ-paris1.fr" class="auth_mail" title="E-mail the corresponding author ; constantin.mellios@orange.fr" class="auth_mail" title="E-mail the corresponding author ; Pierre Sixb ; pierre.six@neoma-bs.fr" class="auth_mail" title="E-mail the corresponding author ; Anh Ngoc Laic ; anh-ngoc.lai@univ-rennes1.fr" class="auth_mail" title="E-mail the corresponding author
- 关键词：Commodity spot prices ; Futures prices ; Convenience yield ; Stochastic market prices of risk ; Dynamic portfolio optimization
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：16 April 2016
- 年：2016
- 卷：250
- 期：2
- 页码：493-504
- 全文大小：1105 K
文摘
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A continuous-time asset allocation model to hedge commodities risk with futures.
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Formulae are expressed in terms of two discount bonds (traded and synthetic).
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The speculative and hedging proportions for each risky asset are explicitly computed.
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The sensitivity of optimal demands to each state variable can be assessed.
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Mean reversion and time-varying prices of risk determine the sign of the positions.