Jukka Lempa: Utility maximization with commodity futures

Jukka Lempa, CMA, holder et seminar med tittelen: Utility maximization with commodity futures


We discuss portfolio optimization in futures markets. 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. 
This talk is based on joint work with Fred Espen Benth
Published June 12, 2015 1:22 PM - Last modified June 12, 2015 1:22 PM