Blar i SAM - Handelshøyskolen på forfatter "Benth, Fred Espen"
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Optimal portfolios in commodity futures markets
Benth, Fred Espen; Lempa, Jukka (Finance and Stochastics;18(2), Journal article; Peer reviewed, 2014)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 ...