منابع مشابه
Correlations in Commodity Markets
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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 portfol...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2009
ISSN: 0378-4371
DOI: 10.1016/j.physa.2009.01.004