Duffie, Darrell; Richardson, Henry R. Mean-variance hedging in continuous time. (English) Zbl 0735.90021 Ann. Appl. Probab. 1, No. 1, 1-15 (1991). Summary: A hedger is faced with a commitment in one asset and the opportunity to continuously trade futures on another asset whose returns are correlated with those of the committed asset. Optimal futures trading strategies are presented in closed form for several mean-variance and quadratic objectives. Cited in 1 ReviewCited in 92 Documents MSC: 91G10 Portfolio theory Keywords:optimal futures trading strategies; mean-variance and quadratic objectives; closed-form solution PDF BibTeX XML Cite \textit{D. Duffie} and \textit{H. R. Richardson}, Ann. Appl. Probab. 1, No. 1, 1--15 (1991; Zbl 0735.90021) Full Text: DOI OpenURL