A Feedback Model for the Financialization of Commodity Markets

DOI10.1137/140995349zbMath1338.91127MaRDI QIDQ3195109

Michael Stein, Ronnie Sircar, Patrick P. K. Chan

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140995349

zbMATH Keywords

portfolio optimization; financialization; commodity markets

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

91G80: Financial applications of other theories

91G10: Portfolio theory

Related Items

Asset prices in segmented and integrated markets

Cites Work

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