Optimal investment and price dependence in a semi-static market

DOI10.1007/S00780-014-0245-8MaRDI QIDQ486934zbMATH OpenOpenAlexFDO

Authors Pietro Siorpaes

Publication date 19 January 2015

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.0237

zbMATH Keywords

convex dualityincomplete marketwell-posed problemoptimal investmentprice dependencesemi-static market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Generalizations of martingales (60G48) Utility theory (91B16) Duality theory (optimization) (49N15)

Abstract: This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously in time and are modeled as locally-bounded semi-martingales. Using a general utility function defined on the positive real line, we first study existence and uniqueness of the solution, and then we consider the dependence of the outputs of the utility maximization problem on the price of the derivatives, investigating not only stability but also differentiability, monotonicity, convexity and limiting properties.

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Cited in

(13)

• scientific article; zbMATH DE number 7329591 (Why is no real title available?)
• Optimal investment with derivative securities
• Investment effects of pricing schemes for non-convex markets
• scientific article; zbMATH DE number 6409305 (Why is no real title available?)
• Do arbitrage-free prices come from utility maximization?
• Pricing for large positions in contingent claims
• Utility maximization when shorting American options
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• Optimal investment in an illiquid market with search frictions and transaction costs
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• Indifference pricing for contingent claims: large deviations effects
• Optimal consumption of multiple goods in incomplete markets

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