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Persistent link: https://www.econbiz.de/10010340676
We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential equation. We also develop a general formalism to handle portfolios...
Persistent link: https://www.econbiz.de/10010759108