Optimal portfolios in commodity futures markets
Portfolio Management
2012-04-13 v1 Probability
Abstract
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of futures price curve models which admit a finite-dimensional realization. Using this, we recast the portfolio optimization problem as a finite-dimensional control problem and study its solvability.
Keywords
Cite
@article{arxiv.1204.2667,
title = {Optimal portfolios in commodity futures markets},
author = {Fred Espen Benth and Jukka Lempa},
journal= {arXiv preprint arXiv:1204.2667},
year = {2012}
}
Comments
21 pages