Optimal investment with derivative securities
From MaRDI portal
Publication:2488502
DOI10.1007/s00780-005-0154-yzbMath1092.91018OpenAlexW2116108052MaRDI QIDQ2488502
Mattias Jonsson, Ronnie Sircar, Aytaç İlhan
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2027.42/47871
Related Items
PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ Impact of risk aversion and belief heterogeneity on trading of defaultable claims ⋮ Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility ⋮ A Note on Market Completeness with American Put Options ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Pricing European options with stochastic volatility under the minimal entropy martingale measure ⋮ Portfolio choice with illiquid asset for a loss-averse pension fund investor ⋮ Accounting for risk aversion in derivatives purchase timing ⋮ Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility ⋮ Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach ⋮ Vector majorization and a robust option replacement trading strategy ⋮ Optimal investment and price dependence in a semi-static market ⋮ INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS ⋮ Utility maximization in markets with bid–ask spreads ⋮ ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS ⋮ Dynamic consumption and asset allocation with derivative securities ⋮ Sensitivity analysis of utility-based prices and risk-tolerance wealth processes ⋮ Optimal static-dynamic hedges for exotic options under convex risk measures ⋮ Optimal investment with derivatives and pricing in an incomplete market ⋮ Dynamic valuation of options on non-traded assets and trading strategies ⋮ A note on utility-based pricing
