dc.contributor.author | Benth, Fred Espen | en_US |
dc.contributor.author | Lempa, Jukka | en_US |
dc.date.accessioned | 2015-02-26T13:52:47Z | |
dc.date.available | 2015-02-26T13:52:47Z | |
dc.date.issued | 2014 | en_US |
dc.identifier.citation | Benth, F. E., & Lempa, J. (2014). Optimal portfolios in commodity futures markets. Finance and Stochastics, 18(2), 407-430. | en_US |
dc.identifier.issn | 0949-2984 | en_US |
dc.identifier.other | FRIDAID 1128756 | en_US |
dc.identifier.uri | https://hdl.handle.net/10642/2413 | |
dc.description.abstract | We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential equation. We also develop a general formalism to handle portfolios of futures contracts. In the portfolio optimization problem, the agent invests in futures contracts and a risk-free asset, and her objective is to maximize the utility from final wealth. In order to capture self-consistent futures price dynamics, we study a class of futures price curve models which admit a finite-dimensional realization. More precisely, we establish conditions under which the futures price dynamics can be realized in finite dimensions. Using the finite-dimensional realization, we derive a finite-dimensional form of the portfolio optimization problem and study its solution. We also give an economic interpretation of the coordinate process driving the finite-dimensional realization. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Springer Berlin Heidelberg | en_US |
dc.relation.ispartofseries | Finance and Stochastics;18(2) | en_US |
dc.subject | Futures contract | en_US |
dc.subject | Stochastic partial differential equations | en_US |
dc.subject | Optimal portfolios | en_US |
dc.subject | Commodity markets | en_US |
dc.subject | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | en_US |
dc.subject | VDP::Matematikk og Naturvitenskap: 400::Matematikk: 410 | en_US |
dc.title | Optimal portfolios in commodity futures markets | en_US |
dc.type | Journal article | en_US |
dc.type | Peer reviewed | en_US |
dc.identifier.doi | http://dx.doi.org/10.1007/s00780-013-0224-5 | |