Journal of Financial and Quantitative Analysis Vol. 17 No. 5 1982
Optimal Sequential Futures Trading
Abstract
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.
- DOI
- 10.2307/2330856
- Volume
- 17
- Issue
- 5
- Pages
- 683
- Sources
- crossref openalex