Numerical Simulation for an Optimal Fixed Ratio of Investment in Hedged Portfolio of Commodities and Their Futures Under Schwartz Pricing Model
Pavith Tangcharoen
Abstract:In this thesis, we are interested in a portfolio maximization problem and a numerical method solving for the optimal investment solution associated with our problem. Accordingly, we first present a specific kind of portfolio model which consisted of only two assets, one is a commodity asset, and another one is a futures contract written on this commodity. Through out this study, we assume that the behavior of commodity price in a perfect market is described by the Schwartz two-factor pricing model. In addition… Show more
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