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Optimal investment with derivative securities
dc.contributor.authorJonsson, Mattiasen_US
dc.contributor.authorSircar, Ronnieen_US
dc.contributor.authorÍlhan, Aytaçen_US
dc.date.accessioned2006-09-11T19:29:21Z
dc.date.available2006-09-11T19:29:21Z
dc.date.issued2005-10en_US
dc.identifier.citationÍlhan, Aytaç; Jonsson, Mattias; Sircar, Ronnie; (2005). "Optimal investment with derivative securities." Finance and Stochastics 9(4): 585-595. <http://hdl.handle.net/2027.42/47871>en_US
dc.identifier.issn1432-1122en_US
dc.identifier.issn0949-2984en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/47871
dc.description.abstractWe consider an investor who maximizes expected exponential utility of terminal wealth, combining a static position in derivative securities with a traditional dynamic trading strategy in stocks. Our main result, obtained by studying the strict concavity of the utility-indifference price as a function of the static positions, is that, in a quite general incomplete arbitrage-free market, there exists a unique optimal strategy for the investor.en_US
dc.format.extent154374 bytes
dc.format.extent3115 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.language.isoen_US
dc.publisherSpringer-Verlagen_US
dc.subject.otherEconomic Theoryen_US
dc.subject.otherStatistics for Business/Economics/Mathematical Finance/Insuranceen_US
dc.subject.otherQuantitative Financeen_US
dc.subject.otherMathematicsen_US
dc.subject.otherProbability Theory and Stochastic Processesen_US
dc.subject.otherConvex Dualityen_US
dc.subject.otherIncomplete Marketsen_US
dc.subject.otherUtility Maximizationen_US
dc.subject.otherIndifference Priceen_US
dc.subject.otherFinance /Bankingen_US
dc.titleOptimal investment with derivative securitiesen_US
dc.typeArticleen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationumDepartment of Mathematics, University of Michigan, MI 48109-1109, Ann Arbor, USAen_US
dc.contributor.affiliationotherMathematical Institute, University of Oxford, OX1 3LB, Oxford, UKen_US
dc.contributor.affiliationotherDepartment of Operations Research & Financial Engineering, Princeton University, E-Quad, NJ 08544, Princeton, USAen_US
dc.contributor.affiliationumcampusAnn Arboren_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/47871/1/780_2005_Article_154.pdfen_US
dc.identifier.doihttp://dx.doi.org/10.1007/s00780-005-0154-yen_US
dc.identifier.sourceFinance and Stochasticsen_US
dc.owningcollnameInterdisciplinary and Peer-Reviewed


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