Optimal portfolios in commodity futures markets

Details Optimal portfolios in commodity futures markets Optimal portfolios in commodity futures markets

2012-04-12

arxiv.org/abs/1204.2667v1

Economy

Quantitative Finance

Portfolio Management

21 pages

Scientific paper

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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