Optimal Portfolios in Commodity Futures Markets
Fred Espen Benth
University of Oslo
University of Oslo - Department of Mathematics
April 11, 2012
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.
Number of Pages in PDF File: 21
Keywords: futures contract, commodity markets, portfolio optimization, stochastic partial differential equations, finite-dimensional realization, invariant foliation
JEL Classification: C61working papers series
Date posted: April 12, 2012
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 1.219 seconds