Futures markets and commodity options: Hedging and optimality in incomplete markets (Q789300)
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scientific article; zbMATH DE number 3845296
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| English | Futures markets and commodity options: Hedging and optimality in incomplete markets |
scientific article; zbMATH DE number 3845296 |
Statements
Futures markets and commodity options: Hedging and optimality in incomplete markets (English)
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1984
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multi-good multi-period economies
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futures markets
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continuous-time model
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time-additive utilities
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homogeneous beliefs
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market portfolio
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riskless asset
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Pareto-optimal allocation
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reverse hedging
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0.8327590227127075
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0.8115578889846802
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0.7999863028526306
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0.7961838245391846
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