Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth

DOI10.1016/0165-1889(95)00891-8zbMath0875.90026OpenAlexW2052751497MaRDI QIDQ1350471

Abraham Lioui, Patrice Poncet

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(95)00891-8

zbMATH Keywords

HedgingFinancial futuresMartingale approachSolvability constraint

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (5)

Dynamic optimal hedge ratio design when price and production are stochastic with jump ⋮ Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences ⋮ On optimal portfolio choice under stochastic interest rates ⋮ Dynamic asset allocation with mean variance preferences and a solvency constraint ⋮ Optimal spreading when spreading is optimal

Cites Work

• Optimal hedging and equilibrium in a dynamic futures market
• Futures markets and commodity options: Hedging and optimality in incomplete markets
• A variational problem arising in financial economics
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

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