OPTIMAL HEDGING AND EQUILIBRIUM IN A DYNAMIC FUTURES MARKET

被引：35
|
作者：
DUFFIE, D
JACKSON, MO
机构：
[1] UNIV CALIF BERKELEY,MATH SCI RES INST,BERKELEY,CA 94720
[2] NORTHWESTERN UNIV,EVANSTON,IL 60208
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1990年 / 14卷 / 01期
基金：
美国国家科学基金会;
关键词：
D O I：
10.1016/0165-1889(90)90003-Y
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper considers an agent maximizing the expected utility of the sum of the terminal value of a fixed portfolio of spot market assets and the terminal value of a margin account on a futures trading position. Closed-form solutions for the optimal hedging strategy are provided in several special cases. © 1990.
引用
收藏
页码：21 / 33
页数：13
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