๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Optimal hedging and equilibrium in a dynamic futures market

โœ Scribed by Darrell Duffie; Matthew O. Jackson

Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
643 KB
Volume
14
Category
Article
ISSN
0165-1889

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

The optimal hedge ratio in unbiased futu
The optimal hedge ratio in unbiased futures markets
โœ Simon Benninga; Rafael Eldor; Itzhak Zilcha ๐Ÿ“‚ Article ๐Ÿ“… 1984 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 281 KB ๐Ÿ‘ 2 views

A determination of the minimum variance hedging ratio.' The strength of these results is mitigated, however, by two factors: First, the researchers assume (implicitly or explicitly) that the hedger has a quadratic utility function. This is well-known to be a problematic assumption, since quadratic u

Disappointment aversion equilibrium in a
Disappointment aversion equilibrium in a futures market
โœ Donald Lien; Yaqin Wang ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 170 KB

## Abstract This article examines the effect of disappointment aversion on the equilibrium in a commodity futures market. Consider a commodity market with a producer and a speculator. We show that the equilibrium price is positively related to either agent's risk or disappointment aversion, and to

The hedging performance of the CD future
The hedging performance of the CD futures market
โœ James A. Overdahl; Dennis R. Starleaf ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 645 KB

futures contracts specifying a negotiable certificate of deposit S C D ) as the deliverable instrument have been traded at the International Monetary Market of the Chicago Mercantile Exchange. Before this time, commercial banks often resorted to using other futures contracts-usually Treasury-bill fu