Optimal investment and price dependence in a semi-static market
File(s)
Accepted version
Author(s)
Siorpaes, Pietro
Type
Journal Article
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 modelled as locally bounded semimartingales. Using a general utility function defined on the positive half-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.
Date Issued
2015-01-01
Date Acceptance
2014-04-01
Citation
Finance and Stochastics, 2015, 19 (1), pp.161-187
ISSN
0949-2984
Publisher
Springer
Start Page
161
End Page
187
Journal / Book Title
Finance and Stochastics
Volume
19
Issue
1
Copyright Statement
© 2014 Springer-Verlag Berlin Heidelberg. The final publication is available at https://dx.doi.org/10.1007/s00780-014-0245-8
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000346567200006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Social Sciences
Science & Technology
Physical Sciences
Business, Finance
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematics
Mathematical Methods In Social Sciences
Optimal investment
Convex duality
Incomplete markets
Price dependence
Well-posed problem
UTILITY-BASED PRICES
INCOMPLETE MARKETS
FUNDAMENTAL THEOREM
OPTIMAL STRATEGIES
CONTINGENT CLAIMS
OPTION PRICES
MAXIMIZATION
ARBITRAGE
CONVERGENCE
CONSTRAINTS
Publication Status
Published
Date Publish Online
2014-09-20