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.
Citation
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
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