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Mean-Variance Hedging in Continuous Time
Darrell Duffie and Henry R. Richardson
The Annals of Applied Probability
Vol. 1, No. 1 (Feb., 1991), pp. 1-15
Published by: Institute of Mathematical Statistics
Stable URL: http://www.jstor.org/stable/2959622
Page Count: 15
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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.
The Annals of Applied Probability © 1991 Institute of Mathematical Statistics