In this talk, we consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of futures price curve models which admit a finite-dimensional realization. Using this, we recast the portfolio optimization problemas a finite-dimensional control problem and study its solvability.

The talk is based on joint work with Fred Espen Benth (Uni. Oslo). A preprint is available in ArXiV: http://arxiv.org/pdf/1204.2667v1.pdf