Optimal portfolios in commodity futures markets

2012/04/12 by Fred Espen Benth, Benth, Fred Espen, Jukka Lempa +1
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR) #math.PR #q-fin.PM

paper · pdf · doi:10.48550/arxiv.1204.2667

21 pages

arxiv created 2012/04/12 · arxiv updated 2012/04/13

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.

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