OPTIMAL HEDGING AND EQUILIBRIUM IN A DYNAMIC FUTURES MARKET

被引：36

作者：

DUFFIE, D

JACKSON, MO

机构：

[1] UNIV CALIF BERKELEY,MATH SCI RES INST,BERKELEY,CA 94720

[2] NORTHWESTERN UNIV,EVANSTON,IL 60208

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1990年 / 14卷 / 01期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0165-1889(90)90003-Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers an agent maximizing the expected utility of the sum of the terminal value of a fixed portfolio of spot market assets and the terminal value of a margin account on a futures trading position. Closed-form solutions for the optimal hedging strategy are provided in several special cases. © 1990.

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页码：21 / 33

页数：13

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