Rao, Vadhindran K. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 133-161
This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures markets. The task is to determine the optimal hedging path, i.e., the sequence of positions in futures contracts with the objective of minimizing the variance of an uncertain...
