42 citations · 144 across the 29 of their papers we have counts for
5 papers · 1 filter
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
Tim Leung, Yang Zhou
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility…
Optimal Trading of a Basket of Futures Contracts
Bahman Angoshtari, Tim Leung
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, w…
Optimal Dynamic Basis Trading
Bahman Angoshtari, Tim Leung
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…
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
We study an optimization-based approach to con- struct a mean-reverting portfolio of assets. Our objectives are threefold: (1) design a portfolio that is well-represented by an Orn…
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
Tim Leung, Qingshuo Song, Jie Yang
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete…