Optimal Investment with Stocks and Derivatives

Pietro Siorpaes

Papers from arXiv.org

Abstract: This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks. We work in the framework of a general semi-martingale model and consider a utility function defined on the positive real line.

Date: 2012-10, Revised 2013-10
New Economics Papers: this item is included in nep-upt
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