ON THE OPTIMAL HEDGE OF A NONTRADED CASH POSITION

被引：44

作者：

ADLER, M

DETEMPLE, JB

机构：

来源：

JOURNAL OF FINANCE | 1988年 / 43卷 / 01期

关键词：

D O I：

10.2307/2328328

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：143 / 153

页数：11

相关论文

共 28 条

[1] AHN CM, 1988, J FINANCE, V43, P197
[2] PRICING OF COMMODITY CONTRACTS
BLACK, F
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 167 - 179
[3] INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES
BREEDEN, DT
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) : 265 - 296
[4] FUTURES MARKETS AND COMMODITY OPTIONS - HEDGING AND OPTIMALITY IN INCOMPLETE MARKETS
BREEDEN, DT
[J]. JOURNAL OF ECONOMIC THEORY, 1984, 32 (02) : 275 - 300
[5] EVALUATING NATURAL-RESOURCE INVESTMENTS
BRENNAN, MJ
SCHWARTZ, ES
[J]. JOURNAL OF BUSINESS, 1985, 58 (02) : 135 - 157
[6] STRUCTURE OF INVESTOR PREFERENCES AND ASSET RETURNS, AND SEPARABILITY IN PORTFOLIO ALLOCATION - CONTRIBUTION TO PURE THEORY OF MUTUAL FUNDS
CASS, D
STIGLITZ, JE
[J]. JOURNAL OF ECONOMIC THEORY, 1970, 2 (02) : 122 - 160
[7] COX JC, 1981, J FINANC, V36, P769
[8] AN INTERTEMPORAL GENERAL EQUILIBRIUM-MODEL OF ASSET PRICES
COX, JC
INGERSOLL, JE
ROSS, SA
[J]. ECONOMETRICA, 1985, 53 (02) : 363 - 384
[9] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES
COX, JC
INGERSOLL, JE
ROSS, SA
[J]. ECONOMETRICA, 1985, 53 (02) : 385 - 407
[10] COX JC, 1985, VARIATIONAL PROBLEM