On a class of optimization problems emerging when hedging with short term futures contracts

DOI10.1007/s00186-007-0179-4zbMath1145.91024OpenAlexW2045396471MaRDI QIDQ2482688

Gunther Leobacher

Publication date: 23 April 2008

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-007-0179-4

zbMATH Keywords

variancefunctional optimizationfinancial mathematicshedging with features

Mathematics Subject Classification ID

Related Items (1)

Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts

Cites Work

• Hedging long-term forwards with short-term futures: a two-regime approach
• An optimal Strategy for Hedging with Short‐Term Futures Contracts
• A generalization of the Helly selection theorem
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