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

收藏

页码：249 / 269

页数：21

相关论文

共 25 条

[1] ADLER M, 1988, J FINANCE MAR
[2] CROSS HEDGING
ANDERSON, RW
DANTHINE, JP
[J]. JOURNAL OF POLITICAL ECONOMY, 1981, 89 (06) : 1182 - 1196
[3] OPTIMAL INTERNATIONAL HEDGING IN COMMODITY AND CURRENCY FORWARD MARKETS
BENNINGA, S
ELDOR, R
ZILCHA, I
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1985, 4 (04) : 537 - 552
[4] THE OPTIMAL HEDGE RATIO IN UNBIASED FUTURES MARKETS
BENNINGA, S
ELDOR, R
ZILCHA, I
[J]. JOURNAL OF FUTURES MARKETS, 1984, 4 (02) : 155 - 159
[5] PRICING OF COMMODITY CONTRACTS
BLACK, F
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 167 - 179
[6] INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES
BREEDEN, DT
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) : 265 - 296
[7] FUTURES MARKETS AND COMMODITY OPTIONS - HEDGING AND OPTIMALITY IN INCOMPLETE MARKETS
BREEDEN, DT
[J]. JOURNAL OF ECONOMIC THEORY, 1984, 32 (02) : 275 - 300
[8] BREEDEN DT, 1985, J BUS, V58, P135
[9] HEDGING PERFORMANCE OF THE NEW FUTURES MARKETS
EDERINGTON, LH
[J]. JOURNAL OF FINANCE, 1979, 34 (01) : 157 - 170
[10] HO TSY, 1984, J FINANC, V34, P351