Optimal Hedging in a Dynamic Futures Market with a Non-Negativity Constraint on Wealth

This paper examines the issue of optimal hedging demands for futures from an investor who cannot freely trade his portfolio of primitive assets and has a CARA utility function. The nonnegativity constraint on his wealth is binding so that usual results do not hold.

LIOUI, A. and PONCET, P. (1995). Optimal Hedging in a Dynamic Futures Market with a Non-Negativity Constraint on Wealth. ESSEC Business School.