Benth, Fred; Lempa, Jukka - In: Finance and Stochastics 18 (2014) 2, pp. 407-430
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...