Optimal portfolios in commodity futures markets

Fred Espen Benth and Jukka Lempa

Papers from arXiv.org

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.

Date: 2012-04
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Citations: View citations in EconPapers (1)

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Journal Article: Optimal portfolios in commodity futures markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1204.2667

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