Futures markets and commodity options: Hedging and optimality in incomplete markets

DOI10.1016/0022-0531(84)90055-3zbMath0532.90020OpenAlexW2038010306MaRDI QIDQ789300

Douglas T. Breeden

Publication date: 1984

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(84)90055-3

zbMATH Keywords

continuous-time modelfutures marketsPareto-optimal allocationmarket portfoliohomogeneous beliefsmulti-good multi-period economiesreverse hedgingriskless assettime-additive utilities

Mathematics Subject Classification ID

Economic growth models (91B62) General equilibrium theory (91B50)

Related Items (7)

Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth ⋮ Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield ⋮ Dynamic asset pricing with non-redundant forwards ⋮ Optimal portfolio choice for unobservable and regime-switching mean returns ⋮ On optimal portfolio choice under stochastic interest rates ⋮ Strategic commodity allocation ⋮ Optimal hedging and equilibrium in a dynamic futures market

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On the optimality of equilibrium when the market structure is incomplete
• Information, futures prices, and stabilizing speculation
• A Theory of the Term Structure of Interest Rates
• A Quantitative Theory of Risk Premiums on Securities with an Application to the Term Structure of Interest Rates
• Options and Efficiency
• The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
• Optimal Production and Allocation Under Uncertainty
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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