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Optimal Enclosure of Quadratic Interval Functions

✍ Scribed by Misha Koshelev; Luc Longpré; Patrick Taillibert


Book ID
111540899
Publisher
Springer
Year
1998
Tongue
English
Weight
478 KB
Volume
4
Category
Article
ISSN
1385-3139

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Optimal futures heading: Quadratic versu
✍ Donald Lien 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 209 KB

## Abstract Although quadratic and exponential utility functions both lead to mean‐variance expected utility analysis, this study demonstrates that the two approaches produce different optimal futures hedging decisions. Specifically, the deviation between the optimal production level and the optima