An optimal Strategy for Hedging with Short‐Term Futures Contracts

DOI10.1111/1467-9965.00019MaRDI QIDQ4409033zbMATH OpenOpenAlexFDO

Authors Gunther Leobacher, Gerhard Larcher

Publication date 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00019

zbMATH Keywords

exact optimizationrunning risk

Mathematics Subject Classification ID

Matching models (91B68) Stochastic models in economics (91B70) Portfolio theory (91G10)

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