Please use this identifier to cite or link to this item: http://oaps.umac.mo/handle/10692.1/21
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dc.contributor.authorNG, FOK CHEONG (吳福祥)-
dc.date.accessioned2014-10-11T16:08:22Z-
dc.date.available2014-10-11T16:08:22Z-
dc.date.issued2014-
dc.identifier.citationNG, F. C. (2014). Managing Chinese Commodity Futures Portfolio - A Stochastic Programming Approach (Outstanding Academic Papers by Students (OAPS)). Retrieved from University of Macau, Outstanding Academic Papers by Students Repository.en_US
dc.identifier.urihttp://hdl.handle.net/10692.1/21-
dc.description.abstractWe present a dynamic stochastic programming model to manage future contracts in Chinese commodity future markets. We simulate the uncertainty in asset prices by means of the scenario trees that approximate the empirical joint distributions implied by historical market data. We firstly propose an improved algorithm that generates a discrete joint distribution consisten with the first four marginal moments and correlation matrix of random variables. We point out that algebra modeling language and our moment matching algorithm make it possible for any non-specialist users to build models in order to solve complex sequential decision making problems. Secondly, We propose a stochastic programming model for managing the futures contract. Empirical results based on the Chinese commodity futures contracts copare the performance of our proposed model with those of other popular trading stategies prensented in finance literature. We also show that the multi-stage model outperforms single-stage models in terms of the stability of return series generated.en_US
dc.language.isoenen_US
dc.subjectStochastic programmingen_US
dc.subjectRisk managementsen_US
dc.subjectChinese future contractsen_US
dc.subjectScenario generationen_US
dc.titleManaging Chinese Commodity Futures Portfolio - A Stochastic Programming Approachen_US
dc.typeOAPSen_US
dc.contributor.departmentDepartment of Finance and Business Economicsen_US
dc.description.instructorDr. LO, CHIA CHUNen_US
dc.contributor.facultyFaculty of Business Administrationen_US
dc.description.programmeMaster of Science in Financeen_US
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