Optimal hedging and equilibrium in a dynamic futures market

@article{Duffie1990OptimalHA,
  title={Optimal hedging and equilibrium in a dynamic futures market},
  author={D. Duffie and M. Jackson},
  journal={Journal of Economic Dynamics and Control},
  year={1990},
  volume={14},
  pages={21-33}
}
Abstract This paper considers an agent maximizing the expected utility of the sum of the terminal value of a fixed portfolio of spot market assets and the terminal value of a margin account on a futures trading position. Closed-form solutions for the optimal hedging strategy are provided in several special cases. 
Optimal Portfolio Hedging with Nonlinear Derivatives and Transaction Costs
Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path
Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 22 REFERENCES
Cross Hedging
The Time Pattern of Hedging and the Volatility of Futures Prices
On the Optimal Hedge of a Nontraded Cash Position
HEDGER DIVERSITY IN FUTURES MARKETS
Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums
Intertemporal Commodity Futures Hedging and the Production Decision
Portfolio Choice and Asset Pricing with Nontraded Assets
Spot rates, forward rates and exchange market efficiency
Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
...
1
2
3
...