W. S. Abanomey and I. Mathur, The Hedging Benefits of Commodity Futures in International Portfolio Diversification, The Journal of Alternative Investments, vol.2, issue.3, pp.51-62, 1999.
DOI : 10.3905/jai.1999.318904

M. Adler and J. Detemple, On the Optimal Hedge of a Nontraded Cash Position, The Journal of Finance, vol.19, issue.1, pp.143-153, 1988.
DOI : 10.1111/j.1540-6261.1988.tb02594.x

M. Adler and J. Detemple, Hedging with futures in an intertemporal portfolio context, Journal of Futures Markets, vol.52, issue.3, pp.249-269, 1988.
DOI : 10.1002/fut.3990080302

D. Ahn, R. Dittmar, and R. Gallant, Quadratic Term Structure Models: Theory and Evidence, Review of Financial Studies, vol.15, issue.1, pp.243-288, 2002.
DOI : 10.1093/rfs/15.1.243

S. Babbs and K. Nowman, Kalman Filtering of Generalized Vasicek Term Structure Models, The Journal of Financial and Quantitative Analysis, vol.34, issue.1, pp.115-130, 1999.
DOI : 10.2307/2676248

I. Bajeux-besnamou and R. Portait, The numeraire portfolio: a new perspective on financial theory, The European Journal of Finance, vol.98, issue.4, pp.291-309, 1997.
DOI : 10.1016/0304-405X(90)90012-O

H. Bessembinder and K. Chan, Time-varying risk premia and forecastable returns in futures markets, Journal of Financial Economics, vol.32, issue.2, pp.169-193, 1992.
DOI : 10.1016/0304-405X(92)90017-R

H. Bessembinder, J. Coughenour, P. Seguin, and S. M. Smoller, Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure, The Journal of Finance, vol.12, issue.1, pp.205-238, 1995.
DOI : 10.1111/j.1540-6261.1995.tb05178.x

T. Björk, M. H. Davis, and C. Landén, Optimal investment under partial information, Mathematical Methods of Operations Research, vol.56, issue.2, 2008.
DOI : 10.1007/s00186-010-0301-x

Z. Bodie and V. I. Rosansky, Risk and Return in Commodity Futures, Financial Analysts Journal, vol.36, issue.3, pp.27-39, 1980.
DOI : 10.2469/faj.v36.n3.27

Z. Bodie, Commodity futures as a hedge against inflation, The Journal of Portfolio Management, vol.9, issue.3, pp.12-17, 1983.
DOI : 10.3905/jpm.9.3.12

D. Breeden, An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, vol.7, pp.263-296, 1979.

D. Breeden, Futures markets and commodity options: Hedging and optimality in incomplete markets, Journal of Economic Theory, vol.32, issue.2, pp.275-300, 1984.
DOI : 10.1016/0022-0531(84)90055-3

M. Brennan, The Supply of Storage, American Economic Review, vol.48, pp.50-72, 1958.
DOI : 10.1007/978-1-349-02693-7_5

M. Brennan, The pricing of convenience and the valuation of commodity contingent claims, Stochastic Models and Option Values, pp.33-71, 1991.

M. Brennan and Y. Xia, Dynamic Asset Allocation under Inflation, The Journal of Finance, vol.56, issue.3, pp.1201-1238, 2002.
DOI : 10.1111/1540-6261.00459

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.146.1364

E. Briys, M. Crouhy, and H. Schlesinger, Optimal Hedging under Intertemporally Dependent Preferences, The Journal of Finance, vol.19, issue.4, pp.1315-1324, 1990.
DOI : 10.1111/j.1540-6261.1990.tb02440.x

A. Buraschi, P. Porchia, and F. Trojani, Correlation Risk and Optimal Portfolio Choice, SSRN Electronic Journal, vol.65, pp.393-420, 2010.
DOI : 10.2139/ssrn.908664

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.118.3897

J. P. Casassus and J. Collin-dufresne, Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates, The Journal of Finance, vol.39, issue.5, pp.2283-2331, 2005.
DOI : 10.1111/j.1540-6261.2005.00799.x

J. Campbell and L. M. Viceira, Consumption and Portfolio Decisions when Expected Returns are Time Varying, The Quarterly Journal of Economics, vol.114, issue.2, pp.433-495, 1999.
DOI : 10.1162/003355399556043

C. Chiarella, L. Clewlow, and B. Kang, Modelling and estimating the forward price curve in the energy market. Working paper, 2009.

J. Cox and C. Huang, Optimal consumption and portfolio policies when asset prices follow a diffusion process, Journal of Economic Theory, vol.49, issue.1, pp.33-83, 1989.
DOI : 10.1016/0022-0531(89)90067-7

J. Cox and C. Huang, A variational problem arising in financial economics, Journal of Mathematical Economics, vol.20, issue.5, pp.465-488, 1991.
DOI : 10.1016/0304-4068(91)90004-D

R. Dai, Commodities in Dynamic Asset Allocation: Implications of mean Reverting Commodity Prices, 2009.

Q. Dai and K. Singleton, Specification Analysis of Affine Term Structure Models, The Journal of Finance, vol.11, issue.5, pp.1943-1978, 2000.
DOI : 10.1111/0022-1082.00278

C. Daskalaki and G. Skiadopoulos, Should investors include commodities in their portfolios after all? New evidence, Journal of Banking & Finance, vol.35, issue.10, pp.2606-2626, 2011.
DOI : 10.1016/j.jbankfin.2011.02.022

J. Detemple, Asset Pricing in a Production Economy with Incomplete Information, The Journal of Finance, vol.19, issue.2, pp.383-391, 1986.
DOI : 10.1111/j.1540-6261.1986.tb05043.x

J. Detemple, R. Garcia, and M. Rindisbacher, A Monte Carlo Method for Optimal Portfolios, The Journal of Finance, vol.37, issue.1, pp.401-446, 2003.
DOI : 10.1111/1540-6261.00529

J. Detemple and M. Rindisbacher, Dynamic asset allocation: Portfolio decomposition formula and applications, The Review of Financial Studies, 2009.

C. Dincerler, Z. Khokher, and T. Simin, An Empirical Analysis of Commodity Convenience Yields, SSRN Electronic Journal, 2005.
DOI : 10.2139/ssrn.748884

M. Dothan and D. Feldman, Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy, The Journal of Finance, vol.6, issue.2, pp.369-382, 1986.
DOI : 10.1111/j.1540-6261.1986.tb05042.x

G. Duffee, Term Premia and Interest Rate Forecasts in Affine Models, The Journal of Finance, vol.5, issue.1, pp.405-443, 2002.
DOI : 10.1111/1540-6261.00426

D. Duffie and O. Jackson, Optimal hedging and equilibrium in a dynamic futures market, Journal of Economic Dynamics and Control, vol.14, issue.1, pp.21-33, 1990.
DOI : 10.1016/0165-1889(90)90003-Y

D. Duffie and R. Kan, A YIELD-FACTOR MODEL OF INTEREST RATES, Mathematical Finance, vol.9, issue.4, pp.379-406, 1996.
DOI : 10.1016/0304-405X(77)90016-2

D. Duffie and H. Richardson, Mean-Variance Hedging in Continuous Time, The Annals of Applied Probability, vol.1, issue.1, pp.1-15, 1991.
DOI : 10.1214/aoap/1177005978

C. B. Erb and C. R. Harvey, The Strategic and Tactical Value of Commodity Futures, Financial Analysts Journal, vol.62, issue.2, pp.69-97, 2006.
DOI : 10.2469/faj.v62.n2.4084

E. Fama and K. French, Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage, The Journal of Business, vol.60, issue.1, pp.55-73, 1987.
DOI : 10.1086/296385

E. Fama and K. French, Business Cycles and the Behavior of Metals Prices, The Journal of Finance, vol.66, issue.5, pp.1075-1093, 1988.
DOI : 10.1111/j.1540-6261.1988.tb03957.x

J. Frankel, Expectations and commodity price dynamics: The overshooting model, 1986.

J. Frankel and G. Hardouvelis, Commodity prices, money surprises and Fed credibility, Journal of Money, Credit and Banking, vol.17, pp.425-438, 1985.
DOI : 10.3386/w1121

H. Geman, N. Karoui, and J. Rochet, Changes of num??raire, changes of probability measure and option pricing, Journal of Applied Probability, vol.5, issue.02, pp.443-458, 1995.
DOI : 10.2307/3003143

H. Geman and C. Kharoubi, WTI crude oil Futures in portfolio diversification: The time-to-maturity effect, Journal of Banking & Finance, vol.32, issue.12, pp.2553-2559, 2008.
DOI : 10.1016/j.jbankfin.2008.04.002

G. Gennotte, Optimal Portfolio Choice Under Incomplete Information, The Journal of Finance, vol.5, issue.3, pp.733-746, 1986.
DOI : 10.1111/j.1540-6261.1986.tb04538.x

R. Gibson and E. Schwartz, Stochastic Convenience Yield and the Pricing of Oil Contingent Claims, The Journal of Finance, vol.39, issue.3, pp.959-976, 1990.
DOI : 10.1111/j.1540-6261.1990.tb05114.x

G. B. Gorton and G. K. Rouwenhorst, Facts and Fantasies about Commodity Futures, Financial Analysts Journal, vol.62, issue.2, pp.47-68, 2006.
DOI : 10.2469/faj.v62.n2.4083

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.494.2411

A. C. Harvey, Forecasting, structural time series models and the Kalman filter, 1989.

M. Harrison and S. Pliska, Martingales and stochastic integrals in the theory of continuous trading, Stochastic Processes and their Applications, vol.11, issue.3, 1981.
DOI : 10.1016/0304-4149(81)90026-0

D. Heath, R. Jarrow, and R. Morton, BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION, Econometrica, vol.60, pp.77-105, 1992.
DOI : 10.1142/9789812819222_0013

J. Hicks, Value and Capital, 1939.

J. Hilliard and J. Reis, Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot, The Journal of Financial and Quantitative Analysis, vol.33, issue.1, pp.61-86, 1998.
DOI : 10.2307/2331378

T. Ho, Intertemporal Commodity Futures Hedging and the Production Decision, The Journal of Finance, vol.35, issue.2, pp.351-376, 1984.
DOI : 10.1111/j.1540-6261.1984.tb02314.x

H. Hong, Stochastic convenience yield, optimal hedging and the term structure of open interest and futures prices. Working Paper, 2001.

J. Hull and A. White, Pricing Interest-Rate-Derivative Securities, Review of Financial Studies, vol.3, issue.4, pp.573-592, 1990.
DOI : 10.1093/rfs/3.4.573

URL : http://rfs.oxfordjournals.org/cgi/content/short/3/4/573

F. Jamshidian, An Exact Bond Option Formula, The Journal of Finance, vol.5, issue.1, pp.205-209, 1989.
DOI : 10.1111/j.1540-6261.1989.tb02413.x

N. Kaldor, Speculation and Economic Stability, The Review of Economic Studies, vol.7, issue.1, pp.1-27, 1939.
DOI : 10.2307/2967593

URL : http://restud.oxfordjournals.org/cgi/content/short/7/1/1

I. Karatzas, J. Lehoczky, and S. Shreve, Optimal Portfolio and Consumption Decisions for a ???Small Investor??? on a Finite Horizon, SIAM Journal on Control and Optimization, vol.25, issue.6, pp.1557-1586, 1987.
DOI : 10.1137/0325086

H. Kat and R. Oomen, What Every Investor Should Know About Commodities, Part II: Multivariate Return Analysis, SSRN Electronic Journal, vol.5, pp.16-40, 2007.
DOI : 10.2139/ssrn.908609

J. Keynes, A Treatise on Money: the Applied Theory of Money, 1930.

S. Khan, Z. Khokher, and T. Simin, Scarcity and Risk Premiums in Commodity Futures. Working Paper, 2007.

O. Kim, Dynamic Nonmyopic Portfolio Behavior, Review of Financial Studies, vol.9, issue.1, pp.141-161, 1996.
DOI : 10.1093/rfs/9.1.141

A. Lioui, The asset allocation puzzle is still a puzzle, Journal of Economic Dynamics and Control, vol.31, issue.4, pp.1185-1216, 2007.
DOI : 10.1016/j.jedc.2006.01.009

A. Lioui, P. Nguyen-duc-trong, and P. Poncet, Optimal dynamic hedging in incomplete futures markets. The Geneva Papers on Risk and Insurance Theory 21-1, pp.103-122, 1996.

A. Lioui and P. Poncet, On optimal portfolio choice under stochastic interest rates, Journal of Economic Dynamics and Control, vol.25, issue.11, pp.1841-1865, 2001.
DOI : 10.1016/S0165-1889(00)00005-1

R. Litzenberger and N. Rabinowitz, Backwardation in Oil Futures Markets: Theory and Empirical Evidence, The Journal of Finance, vol.30, issue.5, pp.1517-1545, 1995.
DOI : 10.1111/j.1540-6261.1995.tb05187.x

J. Liu, Portfolio Selection in Stochastic Environments, Review of Financial Studies, vol.20, issue.1, pp.1-39, 2007.
DOI : 10.1093/rfs/hhl001

J. Long, The numeraire portfolio, Journal of Financial Economics, vol.26, issue.1, pp.29-69, 1990.
DOI : 10.1016/0304-405X(90)90012-O

R. Mehra and E. Prescott, The equity premium: A puzzle, Journal of Monetary Economics, vol.15, issue.2, pp.5-61, 1985.
DOI : 10.1016/0304-3932(85)90061-3

C. Mellios and P. Six, The Traditional Hedging Model Revisited with a Nonobservable Convenience Yield, Financial Review, vol.56, issue.4, pp.569-593, 2011.
DOI : 10.1111/j.1540-6288.2011.00312.x

URL : https://hal.archives-ouvertes.fr/hal-00659232

R. Merton, Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory, vol.3, issue.4, pp.373-413, 1971.
DOI : 10.1016/0022-0531(71)90038-X

R. Merton, An Intertemporal Capital Asset Pricing Model, Econometrica, vol.41, issue.5, pp.867-887, 1973.
DOI : 10.2307/1913811

M. Manoliu and S. Tompaidis, Energy futures prices: term structure models with Kalman filter estimation, Applied Mathematical Finance, vol.9, issue.1, pp.21-43, 2002.
DOI : 10.1287/mnsc.46.7.893.12034

K. Miltersen and E. Schwartz, Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates, The Journal of Financial and Quantitative Analysis, vol.33, issue.1, pp.33-59, 1998.
DOI : 10.2307/2331377

C. Munk and C. Sorensen, Optimal consumption and investment strategies with stochastic interest rates, Journal of Banking & Finance, vol.28, issue.8, pp.1987-2013, 2004.
DOI : 10.1016/j.jbankfin.2003.07.002

M. Nielsen and E. Schwartz, Theory of Storage and the Pricing of Commodity Claims, Review of Derivatives Research, vol.7, issue.1, pp.5-24, 2004.
DOI : 10.1023/B:REDR.0000017026.28316.c8

G. Pennacchi, Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data, Review of Financial Studies, vol.4, issue.1, pp.53-86, 1991.
DOI : 10.1093/rfs/4.1.53

J. Rodriguez, Hedging demands, incomplete markets, and imperfect information. Working paper, 2002.

B. Routledge, D. Seppi, and C. Spatt, Equilibrium Forward Curves for Commodities, The Journal of Finance, vol.9, issue.3, pp.1297-1338, 2000.
DOI : 10.1111/0022-1082.00248

A. Sangvinatsos and J. Wachter, Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?, The Journal of Finance, vol.56, issue.1, pp.179-230, 2005.
DOI : 10.1111/j.1540-6261.2005.00728.x

E. Schwartz, The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging, The Journal of Finance, vol.5, issue.3, pp.923-973, 1997.
DOI : 10.1111/j.1540-6261.1997.tb02721.x

C. Sorensen, Modeling seasonality in agricultural commodity futures, Journal of Futures Markets, vol.9, issue.5, pp.393-426, 2002.
DOI : 10.1002/fut.10017

S. Stoikov and T. Zariphopoulou, DYNAMIC ASSET ALLOCATION AND CONSUMPTION CHOICE IN INCOMPLETE MARKETS*, Australian Economic Papers, vol.5, issue.4, pp.414-454, 2005.
DOI : 10.1007/s001860050098

R. Stulz, Optimal Hedging Policies, The Journal of Financial and Quantitative Analysis, vol.19, issue.2, pp.127-140, 1984.
DOI : 10.2307/2330894

A. B. Trolle and E. S. Schwartz, Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives, Review of Financial Studies, vol.22, issue.11, pp.4423-4461, 2009.
DOI : 10.1093/rfs/hhp036

J. Wachter, Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets, SSRN Electronic Journal, vol.37, pp.63-91, 2002.
DOI : 10.2139/ssrn.291472

H. Working, The theory of the price of storage, American Economic Review, vol.39, pp.1254-1262, 1949.

Y. Xia, Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation, The Journal of Finance, vol.5, issue.1, pp.205-245, 2001.
DOI : 10.1111/0022-1082.00323

X. Yan, Valuation of commodity derivatives in a new multi-factor model, Review of Derivatives Research, vol.5, issue.3, pp.251-271, 2002.
DOI : 10.1023/A:1020871616158

V. Zakamouline, On the pricing and hedging of options on commodity forward and futures contracts. A note. Working Paper, 2007.