Futures markets and commodity options: Hedging and optimality in incomplete markets
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Publication:789300
DOI10.1016/0022-0531(84)90055-3zbMath0532.90020OpenAlexW2038010306MaRDI QIDQ789300
Publication date: 1984
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0022-0531(84)90055-3
continuous-time modelfutures marketsPareto-optimal allocationmarket portfoliohomogeneous beliefsmulti-good multi-period economiesreverse hedgingriskless assettime-additive utilities
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Related Items (7)
Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth ⋮ Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield ⋮ Dynamic asset pricing with non-redundant forwards ⋮ Optimal portfolio choice for unobservable and regime-switching mean returns ⋮ On optimal portfolio choice under stochastic interest rates ⋮ Strategic commodity allocation ⋮ Optimal hedging and equilibrium in a dynamic futures market
Cites Work
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- The Pricing of Options and Corporate Liabilities
- On the optimality of equilibrium when the market structure is incomplete
- Information, futures prices, and stabilizing speculation
- A Theory of the Term Structure of Interest Rates
- A Quantitative Theory of Risk Premiums on Securities with an Application to the Term Structure of Interest Rates
- Options and Efficiency
- The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
- Optimal Production and Allocation Under Uncertainty
- An Intertemporal Capital Asset Pricing Model
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
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