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Optimal investment with derivative securities

✍ Scribed by Aytaç Ílhan; Mattias Jonsson; Ronnie Sircar

Publisher
Springer-Verlag
Year
2005
Tongue
English
Weight
151 KB
Volume
9
Category
Article
ISSN
0949-2984

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📜 SIMILAR VOLUMES

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We consider the portfolio problem of an investor whose wealth is constrained to be at least as large as that generated by investment in a stochastic benchmark portfolio. Using standard option pricing results, the optimal portfolio policy of a HARA-utility investor is derived explicitly. This policy

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## Abstract We use the statistical model of bandit processes to formulate and solve two kinds of optimal investment and consumption problems. The payoffs from the investment are dividend payments with fixed return rates, but the payment frequency is stochastic following a Poisson distribution. The