Under stochastic interest rates, a pure Bernoulli investor chooses to intervene only on the forward or the futures market. His strategy involving forwards exhibits an extra term vis-à-vis the one using futures. This extra term can be interpreted as a Merton-Breeden type hedge against the “ endogenous ” interest rate risk brought about by the optimal strategy itself. Thus, even for the Bernoulli speculator, only a strategy using futures is strictly myopic in the usual sense.
LIOUI, A. and PONCET, P. (1998). Is the Bernoulli Speculator always Myopic in a Complete Information Economy? ESSEC Business School.