Lioui, Abraham; Poncet, Patrice - In: Journal of Futures Markets 20 (2000) 6, pp. 507-523
In a continuous‐time model of a complete information economy, we examine the case of a “pure” speculator who chooses to trade only on forward or futures contracts written on interest‐rate‐sensitive instruments. Assuming logarithmic utility, we assess whether his strategy exhibits the...