Optimal investment and price dependence in a semi-static market

Pietro Siorpaes ()

Finance and Stochastics, 2015, vol. 19, issue 1, 187 pages

Abstract: This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously in time and are modelled as locally bounded semimartingales. Using a general utility function defined on the positive half-line, we first study existence and uniqueness of the solution, and then we consider the dependence of the outputs of the utility maximization problem on the price of the derivatives, investigating not only stability but also differentiability, monotonicity, convexity and limiting properties. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Optimal investment; Convex duality; Incomplete markets; Price dependence; Well-posed problem; 91B16; 49N15; 91G10; G11 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00780-014-0245-8

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