Lioui, Abraham; Trong, Pascal Nguyen Duc; Poncet, Patrice - In: The Geneva Risk and Insurance Review 21 (1996) 1, pp. 103-122
This article derives optimal hedging demands for futures contracts from an investor who cannot freely trade his portfolio of primitive assets in the context of either a CARA or a logarithmic utility function. Existing futures contracts are not numerous enough to complete the market. In addition,...