Optimal strategies in equity securities and derivatives

DOI10.1016/S0096-3003(03)00366-7MaRDI QIDQ1827006zbMATH OpenOpenAlexFDO

Authors 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

Recommendations

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Cites work

• scientific article; zbMATH DE number 45971 (Why is no real title available?)
• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 3084669 (Why is no real title available?)
• "Expected Utility" Analysis without the Independence Axiom
• Optimal positioning in derivative securities
• Options and Efficiency
• Portfolio optimization under a minimax rule
• Risk-neutral valuation: Pricing and hedging of financial derivatives
• Spanning and completeness in markets with contingent claims

Cited in

(3)

• Optimal investment with derivative securities
• Derivatives-based portfolio decisions: an expected utility insight
• Optimal positioning in derivative securities

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