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What is Optimal Bitcoin Trading Strategies about?

This document summarizes an academic paper titled "Optimal Bitcoin Trading with Inverse Futures". The paper studies optimal trading strategies for an investor trading Bitcoin spot and inverse Bitcoin futures. It finds closed-form solutions for optimal strategies when the investor seeks to maximize expected utility of terminal wealth under exponential or power utility functions. Empirical tests show the optimal strategies perform well in terms of Sharpe ratio and Sortino ratio compared to a long-only Bitcoin

Author

Rodrigo Kawamura

Language

EN