Optimal portfolios in commodity futures markets
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DOI: 10.1007/s00780-013-0224-5
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- Fred Espen Benth & Jukka Lempa, 2012. "Optimal portfolios in commodity futures markets," Papers 1204.2667, arXiv.org.
References listed on IDEAS
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Citations
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Cited by:
- Fred Espen Benth & Paul Kruhner, 2014. "Derivatives pricing in energy markets: an infinite dimensional approach," Papers 1412.7943, arXiv.org.
- Junhe Chen & Marcos Escobar-Anel, 2021. "Model uncertainty on commodity portfolios, the role of convenience yield," Annals of Finance, Springer, vol. 17(4), pages 501-528, December.
- Fred Espen Benth & Paul Kruhner, 2015. "Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models," Papers 1512.05983, arXiv.org.
- Fred Espen Benth & Paul Krühner, 2018. "Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models," Finance and Stochastics, Springer, vol. 22(2), pages 327-366, April.
- Benth, Fred Espen & Paraschiv, Florentina, 2016. "A Structural Model for Electricity Forward Prices," Working Papers on Finance 1611, University of St. Gallen, School of Finance.
- Benth, Fred Espen & Paraschiv, Florentina, 2018. "A space-time random field model for electricity forward prices," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 203-216.
- Fred Espen Benth & Paul Kruhner, 2014. "Representation of infinite dimensional forward price models in commodity markets," Papers 1403.4111, arXiv.org.
- Charles Shaw, 2022. "Portfolio Diversification Revisited," Papers 2204.13398, arXiv.org.
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More about this item
Keywords
Futures contract; Commodity markets; Optimal portfolios; Stochastic partial differential equations; Finite-dimensional realization; Invariant foliation; 91G10; 60H15; G11; G13; C61;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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