An optimal Strategy for Hedging with Short‐Term Futures Contracts

DOI10.1111/1467-9965.00019zbMath1058.91040OpenAlexW2144869556MaRDI QIDQ4409033

Gunther Leobacher, Gerhard Larcher

Publication date: 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00019

zbMATH Keywords

exact optimizationrunning risk

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Portfolio theory (91G10) Matching models (91B68)

Related Items (1)

On a class of optimization problems emerging when hedging with short term futures contracts

Cites Work

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