Mean-Variance Hedging in Continuous Time

Authors
Duffie, Darrell Richardson, Henry R.
Citation
Duffie, Darrell et R. Richardson, Henry, Mean-Variance Hedging in Continuous Time, Annals of applied probability , 1(1), 1991, pp. 1-15
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
1
Issue
1
Year of publication
1991
Pages
1 - 15
Database
ACNP
SICI code
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.