A Feedback Model for the Financialization of Commodity Markets

DOI10.1137/140995349zbMath1338.91127OpenAlexW3122514391MaRDI QIDQ3195109

Michael Stein, Ronnie Sircar, Patrick P. K. Chan

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140995349

zbMATH Keywords

portfolio optimizationfinancializationcommodity markets

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (1)

Asset prices in segmented and integrated markets

Cites Work

• Equilibrium in securities markets with heterogeneous investors and unspanned income risk
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• Option pricing for large agents
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• General Black-Scholes models accounting for increased market volatility from hedging strategies
• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
• A solution approach to valuation with unhedgeable risks
• Unnamed Item

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