Post by Sapphire Capital on Oct 28, 2012 8:51:11 GMT 4
OPTIMAL INVESTMENT WITH STOCKS AND DERIVATIVES
This paper studies the problem of maximizing expected utility from
terminal wealth, combining a static position in derivative securities with a traditional dynamic trading strategy in stocks. We work in the framework of a general semimartingale model and consider a utility function defined on the positive real line.
This paper studies the problem of maximizing expected utility from
terminal wealth, combining a static position in derivative securities with a traditional dynamic trading strategy in stocks. We work in the framework of a general semimartingale model and consider a utility function defined on the positive real line.
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