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arxiv: 1204.2667 · v1 · pith:3HNBVVPNnew · submitted 2012-04-12 · 💱 q-fin.PM · math.PR

Optimal portfolios in commodity futures markets

classification 💱 q-fin.PM math.PR
keywords futurescurvefinite-dimensionalmarketsoptimizationportfoliopriceproblem
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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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