42 citations · 144 across the 29 of their papers we have counts for
13 papers · 1 filter
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
Tim Leung, Yang Zhou
We study the problem of dynamically trading multiple futures whose underlying asset price follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU) model. Under this model,…
A Stochastic Control Approach to Managed Futures Portfolios
Tim Leung, Raphael Yan
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility ma…
Optimal Timing to Trade Along a Randomized Brownian Bridge
Tim Leung, Jiao Li, Xin Li
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset pric…
Dynamic Index Tracking and Risk Exposure Control Using Derivatives
Tim Leung, Brian Ward
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pat…
Optimal Trading with a Trailing Stop
Tim Leung, Hongzhong Zhang
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we st…
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
Tim Leung, Hyungbin Park
This paper studies the long-term growth rate of expected utility from holding a leveraged exchanged-traded fund (LETF), which is a constant proportion portfolio of the reference as…