Optimal hedging and equilibrium in a dynamic futures market

DOI10.1016/0165-1889(90)90003-YzbMath0714.90003OpenAlexW2080097136MaRDI QIDQ751449

Matthew O. Jackson, J. Darrell Duffie

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0165-1889(90)90003-y

zbMATH Keywords

Closed-form solutionsoptimal hedging strategyportfolio of spot market assets

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cites Work

• Futures markets and commodity options: Hedging and optimality in incomplete markets
• Stochastic differential equations. An introduction with applications
• Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
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