Optimal Bitcoin trading with inverse futures

【Author】 Deng, Jun; Pan, Huifeng; Zhang, Shuyu; Zou, Bin

【Source】ANNALS OF OPERATIONS RESEARCH

【影响因子】4.820

【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.

【Keywords】Bitcoin; Inverse futures; Optimal investment; Utility maximization

【发表时间】2021 SEP

【收录时间】2022-01-02

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