{"entities":{"Q2488502":{"pageid":2499245,"ns":120,"title":"Item:Q2488502","lastrevid":74284929,"modified":"2026-04-14T19:20:48Z","type":"item","id":"Q2488502","labels":{"en":{"language":"en","value":"Optimal investment with derivative securities"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5026065"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488502$0950E84E-E037-45E2-BC26-CB7B019B6C5C","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"ce30d012c9965601c80cf12d8a174a22c42f0450","datavalue":{"value":{"text":"Optimal investment with derivative securities","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2488502$641D0CA3-470B-441D-BC44-8BA8DFE43BD7","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"de0f776b1db228fbd7999c490d81542bdb4e4383","datavalue":{"value":"1092.91018","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488502$A0A900C4-4A03-4B38-8C84-13D704FDFA7B","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"6e37cbd5e67ae0425692a7b85970f712dce148da","datavalue":{"value":{"entity-type":"item","numeric-id":390204,"id":"Q390204"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488502$8B311F16-0B30-4F79-859B-4F4223BE5711","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"9a7987b73f7e867999a4d744640fc9034b75442c","datavalue":{"value":{"entity-type":"item","numeric-id":309157,"id":"Q309157"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488502$A408B5FC-46E4-4755-8017-A2F1351EF682","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"1f1f014368f8d8703b0313ae767827927f4eca57","datavalue":{"value":{"entity-type":"item","numeric-id":734654,"id":"Q734654"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488502$261AA3E9-7314-42C4-83B1-E66A633B5178","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"fc3cbe8cf287fdb2a81bc60a8afce4592cfe9e54","datavalue":{"value":{"entity-type":"item","numeric-id":135345,"id":"Q135345"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488502$CD38F713-4CA3-48BA-9C2A-192D8C8E9E32","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"d7b21c7671b012b0ad83eca48e2d6c5b53ecb4b4","datavalue":{"value":{"time":"+2006-05-24T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2488502$EEEA4551-58EA-4131-B57E-6DAD2338E876","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"b75847da1eb493fd8bd5d2ede7ea633cd0dbc69c","datavalue":{"value":"http://hdl.handle.net/2027.42/47871","type":"string"},"datatype":"url"},"type":"statement","id":"Q2488502$FACA5F33-8197-4912-B712-D3239CC3F4CB","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"b2fa185f41f790bfd2cdd11c24cb52dcea1d09e6","datavalue":{"value":"The authors consider an investor who maximizes the expected exponential utility of terminal wealth, combining a static position in derivative securities with a traditional dynamic trading strategy in stocks. The concern of this paper is to find optimal trading strategies in the underlying assets as well as finitely many derivative securities. The main result is that for a given no-arbitrage vector of prices for bounded payoffs of the derivative securities, there exists a unique derivatives position together with a dynamic trading strategy maximizing the expected utility. The optimal derivative is a solution of the equation containing the gradient of an indifference price.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488502$D9826881-D27E-4B64-9983-4F270F01E776","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"662a15c969a3e9b9201184d54187bd341d8c9f5f","datavalue":{"value":"91B16","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488502$9D0CE58A-E910-420B-B251-3E0FCDBA972E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7f918b855cc4e1ef3c50dee94916276dca231342","datavalue":{"value":"91G10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488502$409BE4E3-923F-4753-A678-717D7EEAF427","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"38697d6534d6c487b3a9c5a23685b94b3e7a5bf2","datavalue":{"value":"49N15","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488502$410ECD4A-E56A-4309-9AE5-5A294EDFBA3B","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"a0faf4c45010b4ffc9edb513367808f9aefdfe96","datavalue":{"value":"5026065","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488502$90B9AA86-B61F-4B7C-BCD3-0BCAEAA6D0E8","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9cbe408e30fcad4e5a4f702a723a816d880967fb","datavalue":{"value":"utility maximization","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488502$5B316261-D1B4-4BB4-9806-18524A351F40","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"273dcb9b55112deef0fc88ecc9e6c99074c11f93","datavalue":{"value":"convex duality","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488502$1DC46230-59FE-4779-87F9-1F0A5B55E4F7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"1dbe7031114a4e7f98db7ef3053361180721ce87","datavalue":{"value":"incomplete markets","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488502$203EF665-8356-4EBD-8AE2-4CC4D2595C8A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"3756914e526e6acb3d2f3b5ba4e81043b062e71f","datavalue":{"value":"indifference price","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488502$97ADBC92-B85A-47B7-8B58-35AB5A9FAAE2","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488502$C132F439-3628-4C63-8C7F-EF48A5C6AA9F","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488502$C8AA4F82-9CD4-472F-8F79-980C755F6F7C","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"d1f96e28b22bc1601de20baff7ff99e10647d6ab","datavalue":{"value":"W2116108052","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488502$307CFEB6-B42B-417D-B7E6-AF90DB89A095","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"e70e1f4f444e1e1e4f53504a0731e9d29a5a88aa","datavalue":{"value":"10.1007/S00780-005-0154-Y","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488502$04302460-B708-4EF3-BE25-0A996D6A256A","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a3371789758e977146eef1cef0bd1cd7e0ab0cf1","datavalue":{"value":{"entity-type":"item","numeric-id":5942932,"id":"Q5942932"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e99b34210ff828a6fe21e3c3d8d567fb9132f202","datavalue":{"value":{"amount":"+0.8721513152122498","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488502$E18BABE2-DCC2-4BC0-BD76-E5ACF410F702","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"6aa233f34b1a1efb8b3c490e3a126db8ddf9c3d4","datavalue":{"value":{"entity-type":"item","numeric-id":2291996,"id":"Q2291996"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"5bdb0346fbc80401feec4385a08bbd505754f5fe","datavalue":{"value":{"amount":"+0.855184018611908","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488502$E95B1E58-F683-4571-9C52-E8486C595F1F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"54170ba8dfef14e1b1533729d9282c742b7624fd","datavalue":{"value":{"entity-type":"item","numeric-id":4646462,"id":"Q4646462"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"02d839f98cc5e8a09404e7fc7f09e09cbcdd4929","datavalue":{"value":{"amount":"+0.8454006314277649","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488502$1D6BFC55-2B35-4D3E-9243-4E895DE733F5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a603b35b3685ad4730a990f197839955fe3e7e9f","datavalue":{"value":{"entity-type":"item","numeric-id":1827006,"id":"Q1827006"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"569701d2610a7deb0b3d94346410f1257908eb99","datavalue":{"value":{"amount":"+0.8306797742843628","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488502$ABD85CFA-3928-4F26-9F08-A843C0DDA85D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"68f9246b2893c4d1af37ab7c1864d9da58ee6a93","datavalue":{"value":{"entity-type":"item","numeric-id":486934,"id":"Q486934"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c9715435154fcaaaef4eb81bc258aa8eb035429e","datavalue":{"value":{"amount":"+0.8235214948654175","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488502$F9116BFF-1BDF-4DC7-8D3D-B57E56EDFBF2","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Optimal investment with derivative securities","badges":[]}}}}}