Optimal Dynamic Hedging in Unbiased Futures Markets

Autor:	Robert J. Myers, Steven D. Hanson
Rok vydání:	1996
Předmět:	Economics and Econometrics Discounting media_common.quotation_subject Mathematics::Optimization and Control Agricultural and Biological Sciences (miscellaneous) Microeconomics Computer Science::Computational Engineering Finance and Science Joint probability distribution Cash Replicating portfolio Economics Econometrics Mean reversion Position (finance) Futures contract Basis risk media_common
Zdroj:	American Journal of Agricultural Economics. 78:13-20
ISSN:	1467-8276 0002-9092
DOI:	10.2307/1243774
Popis:	A discrete-time dynamic hedging problem is solved under expected utility maximization and basis risk without imposing a particular parametric form for utility, nor assuming normally distributed cash and futures prices. The solution is valid for any increasing and strictly concave utility function, and for quite general specifications of the joint distribution of cash and futures prices. This generality is achieved by restricting the futures market to be unbiased, and requiring that the size of the cash position be nonstochastic. The dynamic hedging rule can be estimated empirically using similar methods to those used to estimate static hedge ratios. Copyright 1996, Oxford University Press.
Databáze:	OpenAIRE
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