نتایج جستجو برای: portfolio optimization

تعداد نتایج: 335260  

Journal: :Finance and Stochastics 2014
Fred E. Benth Jukka Lempa

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...

Journal: :European Journal of Operational Research 2021

Journal: :Journal of the Indonesian Mathematical Society 2019

Journal: :International Transactions in Operational Research 2019

Journal: :Journal of Mathematical Finance 2012

Journal: :International Humanitarian University Herald. Economics and Management 2021

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