نوع مقاله : مقاله پژوهشی

نویسندگان

1 گروه مدیریت صنعتی، دانشکده مدیریت، دانشگاه تهران، تهران، ایران.

2 گروه علوم اقتصادی، دانشکده اقتصاد و علوم سیاسی، دانشگاه شهید بهشتی، تهران، ایران.

10.22105/dmor.2021.261633.1284

چکیده

اصلی‏ترین تئوری حاکم بر ارزش‏گذاری قراردادهای آتی، تئوری ذخیره سازی است که در آن مهمترین فاکتور دخیل در قیمت گذاری قرارداد، مفهومی تحت عنوان ثمرات رفاهی است. ثمرات رفاهی عاملی است که فرآیند ارزش‏گذاری قراردادهای آتی را با پیچیدگی‏های جدی مواجه کرده است. تلاش برای تعیین بهترین موضع معاملاتی در قراردادهای آتی با دارایی پایه گوناگون و با تاریخ سررسید مختلف با بهره‏گیری از بهینه سازی کنترل پویای تصادفی، هدفی است که در این مقاله انجام گرفته است و در بازار بورس کالای ایران پیاده سازی شده است. نتایج حاصل نشان می‏دهد که مدل حاصل در حالت تک کالایی به طور کامل توانسته است که موضع معاملاتی درست را تشخیص دهد و در حالت دو کالایی 91.7 درصد موفق عمل کرده است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Decision to choose optimal trading position in future contracts of consumer goods with stochastic control and based on storage theory and convenience yield

نویسندگان [English]

  • Mehdi Khajezadeh Dezfoli 1
  • Mansour Momeni 1
  • Hanan Amoozad Mahdirji 1
  • Mohammad Hosein Pourkazemi 2

1 Department of Industrial Management, Management Faculty, Tehran University, Tehran, Iran.

2 Department of Economical Science, Faculty of Economyand Policy, Shahid Beheshti University, Tehran, Iran.

چکیده [English]

The main theory governing the valuation of future contracts is the storage theory in which the most important factor for pricing contract is convenience yield. convenience yield is a factor that complicates the process of valuing futures contracts. Trying to determine the best trading position at different futures prices as well as forming an optimal portfolio of futures contracts on a specific time horizon and on contracts with different underlying assets and with different maturities by using stochastic control is a goal that in this article has been done and implemented in the Iranian Commodity Exchange market. The results show that the resulting model in the single commodity mode has been able to fully identify the correct trading position and in the two commodity mode has been 91.7% successful.

کلیدواژه‌ها [English]

  • Futures
  • Stochastic control
  • Storage theory
  • Convenience yield
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