搜索结果: 1-2 共查到“理论经济学 futures markets”相关记录2条 . 查询时间(0.031 秒)
Optimal portfolios in commodity futures markets
futures contract commodity markets portfolio optimization stochastic partial differential equations
2012/4/28
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize ...
Information Transmission in Informationally Linked Markets: Evidence from US and Chinese Commodity Futures Markets
Commodity futures Informationally linked markets Synchronous and non-synchronous trading Price discovery
2014/1/13
This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information...