Content area
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 confirm that optimal strategies perform well in terms of Sharpe ratio and Sortino ratio and beat the long-only strategy in Bitcoin spot.
Details
Title
Optimal Bitcoin trading with inverse futures
Author
Deng, Jun 1 ; Pan Huifeng 1 ; Zhang, Shuyu 2 ; Zou Bin 3
1 University of International Business and Economics, School of Banking and Finance, Beijing, China (GRID:grid.443284.d)
2 Beijing Technology and Business University, School of International Economics and Management, Beijing, China (GRID:grid.411615.6) (ISNI:0000 0000 9938 1755)
3 University of Connecticut, Department of Mathematics, Storrs, USA (GRID:grid.63054.34) (ISNI:0000 0001 0860 4915)
1 University of International Business and Economics, School of Banking and Finance, Beijing, China (GRID:grid.443284.d)
2 Beijing Technology and Business University, School of International Economics and Management, Beijing, China (GRID:grid.411615.6) (ISNI:0000 0000 9938 1755)
3 University of Connecticut, Department of Mathematics, Storrs, USA (GRID:grid.63054.34) (ISNI:0000 0001 0860 4915)
Pages
139-163
Publication year
2021
Publication date
Sep 2021
ISSN
02545330
e-ISSN
15729338
Source type
Scholarly Journal
Language of publication
English
ProQuest document ID
2558848139
Copyright
© The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021.