Optimal Portfolios in Commodity Futures Markets
Copyright policy )Optimal Portfolios in Commodity Futures Markets
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.
21 pages
330, stochastic partial differential equations, commodity futures market, Probability (math.PR), finite-dimensional realization, Stochastic partial differential equations, coordinate process, VDP::Matematikk og Naturvitenskap: 400::Matematikk: 410, 510, Commodity markets, VDP::Samfunnsvitenskap: 200::Økonomi: 210, FOS: Economics and business, Futures contract, Portfolio theory, Stochastic partial differential equations (aspects of stochastic analysis), Derivative securities (option pricing, hedging, etc.), Portfolio Management (q-fin.PM), Optimal portfolios, optimal portfolios, FOS: Mathematics, invariant foliation, Applications of optimal control and differential games, Quantitative Finance - Portfolio Management, Mathematics - Probability
330, stochastic partial differential equations, commodity futures market, Probability (math.PR), finite-dimensional realization, Stochastic partial differential equations, coordinate process, VDP::Matematikk og Naturvitenskap: 400::Matematikk: 410, 510, Commodity markets, VDP::Samfunnsvitenskap: 200::Økonomi: 210, FOS: Economics and business, Futures contract, Portfolio theory, Stochastic partial differential equations (aspects of stochastic analysis), Derivative securities (option pricing, hedging, etc.), Portfolio Management (q-fin.PM), Optimal portfolios, optimal portfolios, FOS: Mathematics, invariant foliation, Applications of optimal control and differential games, Quantitative Finance - Portfolio Management, Mathematics - Probability
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