English

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