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Optimal Sequential Futures Trading

Published online by Cambridge University Press:  06 April 2009

Jerome Baesel and
Dwight Grant
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Extract

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.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 5 , December 1982, pp. 683 - 695
Copyright
Copyright © School of Business Administration, University of Washington 1982

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References

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