The Annals of Applied Probability

Mean-Variance Hedging in Continuous Time

Darrell Duffie and Henry R. Richardson

Full-text: Open access

Abstract

A hedger is faced with a commitment in one asset and the opportunity to continuously trade futures contracts on another asset whose returns are correlated with those of the committed asset. Optimal futures trading strategies are presented in closed form for several mean-variance and quadratic objectives.

Article information

Source
Ann. Appl. Probab. Volume 1, Number 1 (1991), 1-15.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1177005978

Digital Object Identifier
doi:10.1214/aoap/1177005978

Mathematical Reviews number (MathSciNet)
MR1097461

Zentralblatt MATH identifier
0735.90021

JSTOR
links.jstor.org

Subjects
Primary: 90A99

Keywords
Mean-variance hedging finance continuous time futures markets

Citation

Duffie, Darrell; Richardson, Henry R. Mean-Variance Hedging in Continuous Time. Ann. Appl. Probab. 1 (1991), no. 1, 1--15. doi:10.1214/aoap/1177005978. http://projecteuclid.org/euclid.aoap/1177005978.


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