The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 1, Number 1 (1991), 1-15.
Mean-Variance Hedging in Continuous Time
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.
Ann. Appl. Probab. Volume 1, Number 1 (1991), 1-15.
First available in Project Euclid: 19 April 2007
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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. https://projecteuclid.org/euclid.aoap/1177005978