Blar i SAM - Handelshøyskolen på emneord "Optimal portfolios"
Viser treff 1-1 av 1
-
Optimal portfolios in commodity futures markets
(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 ...