Employing Financial Futures to Increase the Return on Near Cash (Treasury Bill) Investments
构建并检验了一个决策模型，通过利用国库券期货定价的低效性，在不改变组合期限的前提下提高流动性资产池的回报率，并展示了基于动态规划算法的实时交易结果。
The purpose of this article is to formulate and test a decision model to increase the return on a pool of liquid assets through the use of Treasury bill futures contracts. Recent literature has documented inefficiencies in the pricing of T-bill futures. These inefficiencies can be exploited to increase the return on a portfolio of T-bills without affecting the maturity of the portfolio. The solution technique used is dynamic programming. The results of applying a dynamic programming algorithm parameterized on available data to trade in real time are presented. The rules lead to increased returns.