  We study the problem of dynamically trading a futures contract and its
underlying asset under a stochastic basis model. The basis evolution is modeled
by a stopped scaled Brownian bridge to account for non-convergence of the basis
at maturity. The optimal trading strategies are determined from a utility
maximization problem under hyperbolic absolute risk aversion (HARA) risk
preferences. By analyzing the associated Hamilton-Jacobi-Bellman equation, we
derive the exact conditions under which the equation admits a solution and
solve the utility maximization explicitly. A series of numerical examples are
provided to illustrate the optimal strategies and examine the effects of model
parameters.
