Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
type: Item
instance of: scholarly article
title: Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
zbMATH Open document ID: 0875.90026
DOI: 10.1016/0165-1889(95)00891-8
author: Abraham Lioui
author: Patrice Poncet
publication date: 1997-02-27T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 984030
zbMATH Keywords: Hedging
zbMATH Keywords: Financial futures
zbMATH Keywords: Solvability constraint
zbMATH Keywords: Martingale approach
MaRDI profile type: Publication
full work available at URL: 0165-1889(95)00891-8
OpenAlex ID: W2052751497
cites work: Futures markets and commodity options: Hedging and optimality in incomplete markets
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cites work: Optimal hedging and equilibrium in a dynamic futures market
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 984030