This article examines the hedging of constrained commodity positions with futures contracts. We extend the study of Adler and Detemple (1988 a,b) to include a partial information framework where the convenience yield is not observable. As a consequence, futures prices depend on investor's...

This paper takes into account the most prevalent practices in terms of fees in order to study the dynamic asset allocation of fund managers exhibiting a loss aversion utility function. Managers are compensated with performance-based (asymmetric and symmetric) fees comprising an underperformance...

This paper studies optimal calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts....