Optimal investment and price dependence in a semi-static market
AbstractThis 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1303.0237.
Date of creation: Mar 2013
Date of revision: Oct 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
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- Pietro Siorpaes, 2012. "Optimal Investment with Stocks and Derivatives," Papers 1210.5466, arXiv.org, revised Oct 2013.
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