HEDGING WITH FUTURES IN AN INTERTEMPORAL PORTFOLIO CONTEXT

被引：25

作者：

ADLER, M ^{[1
]}

DETEMPLE, J ^{[1
]}

机构：

[1] COLUMBIA UNIV,GRAD SCH BUSINESS,NEW YORK,NY 10027

来源：

JOURNAL OF FUTURES MARKETS | 1988年 / 8卷 / 03期

关键词：

D O I：

10.1002/fut.3990080302

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：249 / 269

页数：21

共 25 条

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ELDOR, R ;

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ELDOR, R ;

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[6] INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].

BREEDEN, DT .

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[7] FUTURES MARKETS AND COMMODITY OPTIONS - HEDGING AND OPTIMALITY IN INCOMPLETE MARKETS [J].

BREEDEN, DT .

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[8]

BREEDEN DT, 1985, J BUS, V58, P135

[9] HEDGING PERFORMANCE OF THE NEW FUTURES MARKETS [J].

EDERINGTON, LH .

JOURNAL OF FINANCE, 1979, 34 (01) :157-170

[10]

HO TSY, 1984, J FINANC, V34, P351

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