The futures pricing model based on optimal growth portfolio method

摘要

After summarizing the characters of optimal growth portfolio, we derive the futures pricing model in a concrete discrete-time incomplete market using the optimal growth portfolio method. Then an empirical test for the model is done. The result shows, the prices predicted by the new model can fit the actual prices well, and compared with the conventional futures pricing model, the single-factor model from Cost-of-carry theory, the new model also has advantage in precision.