42 citations · 144 across the 29 of their papers we have counts for
5 papers · 1 filter
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…
A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
Jize Zhang, Tim Leung, Aleksandr Aravkin
A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund mana…
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…
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…