Download This PaperOptimal Bitcoin Trading with Inverse Futures
31 Pages Posted: 24 Aug 2019
Date Written: August 23, 2019
Abstract
We consider an optimal trading problem for an investor who trades Bitcoin spot and Bitcoin inverse futures, plus a risk-free asset. The investor seeks an optimal strategy to maximize her expected utility of terminal wealth. We obtain explicit solutions to the investor's optimal strategies under both exponential and power utility functions. Empirical studies con rm that optimal strategies perform well in terms of Sharpe ratio and Sortino ratio and beat the long-only strategy in Bitcoin spot.
Keywords: Bitcoin; Inverse Futures; Optimal Investment; Utility Maximization
Suggested Citation: Suggested Citation
Deng, Jun and Pan, Huifeng and Zhang, Shuyu and Zou, Bin, Optimal Bitcoin Trading with Inverse Futures (August 23, 2019). Available at SSRN: https://ssrn.com/abstract=3441913 or http://dx.doi.org/10.2139/ssrn.3441913
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