Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth

Journal of Economic Dynamics and Control

Volumn 20, Issue 6-7, 1996, Pages 1101-1113

  Lioui, Abraham ^a   Poncet, Patrice ^a,b  

^a UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

^b ESSEC BUSINESS SCHOOL   (France)

Author keywords

Financial futures; Hedging; Martingale approach; Solvability constraint

Indexed keywords

EID: 0030161274     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1889(95)00891-8     Document Type: Article

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