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A class of portfolio selection with a four-factor futures price model

✍ Scribed by Wei Yan; Shurong Li

Publisher
Springer US
Year
2008
Tongue
English
Weight
830 KB
Volume
164
Category
Article
ISSN
0254-5330

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## Abstract This paper presents a single‐factor model to describe the fluctuation of the electricity futures price for its trading risk management. An autoregressive moving‐average model [ARMA (2,1) process] was used to express the stochastic process of the price, instead of a conventionally used M