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Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth

✍ Scribed by Abraham Lioui; Patrice Poncet


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
714 KB
Volume
20
Category
Article
ISSN
0165-1889

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A two-dimensional optimal control problem is considered on the assumption that the terminal time of the process is not fixed and the integral objective functional depends on a parameter. Asymmetric constraints are imposed on the control parameter. l%vo cases are considered: constraints of the same s