%0 Journal Article
%T Optimal portfolios in commodity futures markets
%A Fred Espen Benth
%A Jukka Lempa
%J Quantitative Finance
%D 2012
%I arXiv
%X 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.
%U http://arxiv.org/abs/1204.2667v1