Issue 1/2022
Content (5 Articles)
Research Article
Constrained dynamic futures portfolios with stochastic basis
Xiaodong Chen, Tim Leung, Yang Zhou
Research Article
Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
Katsushi Nakajima
Research Article
Permutation-weighted portfolios and the efficiency of commodity futures markets
Ricardo T. Fernholz, Robert Fernholz
Performance of advanced stock price models when it becomes exotic: an empirical study
Gero Junike, Wim Schoutens, Hauke Stier