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Xiaodong Chen
affiliation not provided to SSRN
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Scholarly Papers (1)
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1.
Constrained Dynamic Futures Portfolios with Stochastic Basis
Number of pages: 32
Posted: 14 Oct 2021
Xiaodong Chen,
Tim Leung
and
Yang Zhou
affiliation not provided to SSRN
, University of Washington and University of Washington - Department of Applied Math
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Abstract:
futures portfolio, futures basis, portfolio constraints, utility maximization
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