Optimization of commodity portfolio management

Abstract

The problem we consider is introduced by Uljarice Bačka, LLC. The core business activities of the company are trade of agriculture commodities, warehousing and distribution and crops production. The main traded goods are: corn, wheat, barely, sunflower, soybean, soybean meal and raw material for crops production: fertilizers, plant protection products, seeds and other. Since a large part of company’s activities relays on corn, predicting the price of that good is of the main interest. In order to make a reasonable predictions, models which incorporate the crucial factors influencing the corn prices are needed. Of course, the important issue is which data are available. Within the data that we obtained, a correlation analysis is performed to point out the relevant parameters. We introduce different methods for obtaining the predictions and provide some numerical results.