Optimal strategies in equity securities and derivatives

DOI10.1016/S0096-3003(03)00366-7zbMath1109.91356OpenAlexW1972570441MaRDI QIDQ1827006

Yanyan Li

Publication date: 6 August 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(03)00366-7

zbMATH Keywords

European optionsasset allocation problemexpected utiliyGeometric Brownian motions

Mathematics Subject Classification ID

Cites Work

• Spanning and completeness in markets with contingent claims
• Risk-neutral valuation: Pricing and hedging of financial derivatives
• Portfolio Optimization Under a Minimax Rule
• "Expected Utility" Analysis without the Independence Axiom
• Options and Efficiency
• Optimal positioning in derivative securities
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