Parameter‐based Decision Making under Estimation Risk: An Application to Futures Trading
研究在参数信息不完全（估计风险）时如何修正标准期货交易组合模型，提出一个可操作模型来最优融合先验与样本信息，对从事期货交易策略设计的研究者和从业者有参考价值。
ABSTRACT This study shows how the standard portfolio model of futures trading should be modified when there is less than perfect information about the relevant parameters (estimation risk). The standard and the optimal decision rules for futures trading in the presence of estimation risk are compared and discussed. An operational model of futures trading for use under estimation risk is advanced. In the presence of relevant prior and sample information, the model can be used to optimally blend both types of information.