A log utility speculator trades on either forwards or futures written on a long term bond whose price obeys the Heath-Jarrow-Morton model. The strategy involving forwards, as compared to the one using futures, exhibits an extra term, akin to, but different from, a Merton-Breeden dynamic hedge. This term is novel and is a hedge againt the interest-rate risk brought about by the optimal trading strategy itself.
PONCET, P. and LIOUI, A. (2000). Bernoulli Speculator and Trading Strategy Risk. Journal of Futures Markets, pp. 507-523.