The Black-Litterman model is a framework for incorporating forward-looking expert views in
a portfolio optimization problem. Existing work focuses almost exclusively on single-period …

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 …

We study the problem of dynamically trading multiple futures contracts on different
underlying assets subject to portfolio constraints. The spreads between futures and spot …

In this thesis, we discuss systematic methods to futures trading and analyze the
mathematical problems that arise from trading futures. Firstly, we analyze the dynamic …

We study the problem of dynamically trading multiple futures whose underlying asset price
follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU) model. Under this …

We study the problem of dynamically trading futures in a regime-switching market. Modeling
the spot asset price as a Markov-modulated diffusion process, we derive the no-arbitrage …

We study the problem of dynamically trading futures in continuous time under a multifactor
Gaussian framework. We present a utility maximization approach to determine the optimal …

Makine Öğrenmesi, günümüzde neredeyse her alanda uygulanabilir hale geldiğinden son
zamanlarda oldukça yaygınlaşmıştır. Pekiştirmeli Öğrenme ve Derin Öğrenme olarak …