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Optimal Sequential Futures Trading

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  • Baesel, Jerome
  • Grant, Dwight

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.

Suggested Citation

  • Baesel, Jerome & Grant, Dwight, 1982. "Optimal Sequential Futures Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(5), pages 683-695, December.
    • Handle: RePEc:cup:jfinqa:v:17:y:1982:i:05:p:683-695_01
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    Cited by:

    1. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
    2. George Emir Morgan & Stephen D. Smith, 1987. "The Role Of Capital Adequacy Regulation In The Hedging Decisions Of Financial Intermediaries," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 33-46, March.
    3. Daniel Lane & William Ziemba, 2004. "Jai Alai arbitrage strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 353-369.
    4. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.

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