Hedgers adjust their futures market positions to reflect new information. Therefore, the anticipation of new information creates future decision points and thus a multiperiod decision problem. Previous studies (see [2], [4], [5], [7], and [8]) which solved the problem of choosing optimal futures market hedges have not addressed this issue. Rather, these studies have derived optimal hedges in one-period frameworks. In general, this solution is incorrect if, during the time the hedge is in effect, new information is anticipated.

Jerome B. Baesel, Nahum Biger, The Allocation of Risk: Some Implications of Fixed Versus Index-Linked Mortgages, The Journal of Financial and Quantitative Analysis, Vol. 15, No. 2 (Jun., 1980), pp. 457-468

Jerome B. Baesel, Garry R. Stein, The Value of Information: Inferences from the Profitability of Insider Trading, The Journal of Financial and Quantitative Analysis, Vol. 14, No. 3 (Sep., 1979), pp. 553-571