英文标题：
《Optimal Dynamic Basis Trading》
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作者：
Bahman Angoshtari, Tim Leung
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最新提交年份：
2019
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英文摘要：
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at maturity. The optimal trading strategies are determined from a utility maximization problem under hyperbolic absolute risk aversion (HARA) risk preferences. By analyzing the associated Hamilton-Jacobi-Bellman equation, we derive the exact conditions under which the equation admits a solution and solve the utility maximization explicitly. A series of numerical examples are provided to illustrate the optimal strategies and examine the effects of model parameters.
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中文摘要：
我们研究了随机基模型下期货合约及其标的资产的动态交易问题。为了解释基在成熟时的不收敛性，用停止标度的布朗桥来模拟基的演化。在双曲型绝对风险厌恶（HARA）风险偏好下，通过效用最大化问题确定最优交易策略。通过分析关联的Hamilton-Jacobi-Bellman方程，我们导出了方程允许解的精确条件，并显式地求解了效用最大化问题。通过一系列数值算例说明了优化策略，并检验了模型参数的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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