SFB 303 Discussion Paper No. A - 223

Author: Duffie, Darrell, and Henry R. Richardson
Title: Mean-Variance Hedging in Continuous-Time
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.
Keywords: Hedging, Continuously trade futures contracts, Optimal strategies
JEL-Classification-Number: 213, 313
Creation-Date: January 1989
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