Optimal spreading when spreading is opti
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Abraham Lioui; Rafael Eldor
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Article
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1998
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Elsevier Science
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English
⚖ 169 KB
This paper assumes an investor who has a non-traded position operating in a stochastic interest rates environment. The investor trades continuously either distinct futures contracts or distinct forward contracts in order to maximize his expected utility of terminal wealth. In order to reach the welf