Optimal portfolios in commodity futures markets

DOI10.1007/s00780-013-0224-5zbMath1305.91213arXiv1204.2667OpenAlexW3125045951MaRDI QIDQ468419

Jukka Lempa, Fred Espen Benth

Publication date: 7 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.2667

zbMATH Keywords

stochastic partial differential equationsinvariant foliationcommodity futures marketcoordinate processfinite-dimensional realizationoptimal portfolios

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (4)

Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models ⋮ Model uncertainty on commodity portfolios, the role of convenience yield

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