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February 1, 1991The Annals of Applied Probability408 citationsOpen Access

Mean-Variance Hedging in Continuous Time

DDDarrell DuffieHRHenry R. Richardson

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Abstract

A hedger is faced with a commitment in one asset and the opportunity to continuously trade futures contracts on another asset whose returns are correlated with those of the committed asset. Optimal futures trading strategies are presented in closed form for several mean-variance and quadratic objectives.

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Cite This Study

Duffie et al. (1991) studied this question.

synapsesocial.com/papers/6a18bf208dcaf40f45cfb5dehttps://doi.org/10.1214/aoap/1177005978
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