Optimal Dynamic Hedging in Unbiased Futures Markets
在期望效用最大化框架下，求解了存在基差风险的离散时间动态对冲问题，不依赖特定效用函数或正态分布假设，适用于任何递增严格凹效用函数及较一般的现金与期货价格联合分布，为实证估计动态对冲规则提供了方法。
Abstract A discrete‐time dynamic hedging problem is solved under expected utility maximization and basis risk without imposing a particular parametric form for utility, nor assuming normally distributed cash and futures prices. The solution is valid for any increasing and strictly concave utility function, and for quite general specifications of the joint distribution of cash and futures prices. This generality is achieved by restricting the futures market to be unbiased, and requiring that the size of the cash position be nonstochastic. The dynamic hedging rule can be estimated empirically using similar methods to those used to estimate static hedge ratios.