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Optimal portfolios in commodity futures markets

Jukka Lempa
(Oslo University)
Thiele Seminar
Thursday, 24 May, 2012, at 13:15-14:00, in Koll. D (1531-211)
Abstract:
In this talk, 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 problemas a finite-dimensional control problem and study its solvability.

The talk is based on joint work with Fred Espen Benth (Uni. Oslo). A preprint is available in ArXiV: http://arxiv.org/pdf/1204.2667v1.pdf
Organised by: The T.N. Thiele Centre
Contact person: Søren Asmussen