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February, 1991 Mean-Variance Hedging in Continuous Time
Darrell Duffie, Henry R. Richardson
Ann. Appl. Probab. 1(1): 1-15 (February, 1991). DOI: 10.1214/aoap/1177005978

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.

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Darrell Duffie. Henry R. Richardson. "Mean-Variance Hedging in Continuous Time." Ann. Appl. Probab. 1 (1) 1 - 15, February, 1991. https://doi.org/10.1214/aoap/1177005978

Information

Published: February, 1991
First available in Project Euclid: 19 April 2007

zbMATH: 0735.90021
MathSciNet: MR1097461
Digital Object Identifier: 10.1214/aoap/1177005978

Subjects:
Primary: 90A99

Keywords: continuous time , finance , futures markets , hedging , Mean-variance

Rights: Copyright © 1991 Institute of Mathematical Statistics

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Vol.1 • No. 1 • February, 1991
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