Sequential Hedging
研究商品生产者在期货合约期限短于其收入流期限时，如何通过一系列期货头寸完全消除现货价格波动带来的收入风险，并给出了实现完美套期保值的充要条件与具体策略。
This paper addresses a problem faced by the producer of a commodity for which futures are traded. The producer wishes to reduce his exposure to the random fluctuations in spot prices; however, the futures markets extend out for fewer time periods than the revenue stream that he wants to hedge. The main result of the paper is that under certain conditions on the relationship between the futures prices and past spot prices, it is still possible to hedge perfectly; in other words, there exists a sequence of futures positions that entirely eliminates the risk in the present value of the producer's revenues. Under those conditions—which are necessary as well as sufficient—the paper shows explicitly the futures positions that achieve the exact hedge.