The duality of option investment strategies for hedge funds
نویسندگان
چکیده
This paper explores the structure of optimal investment strategies using stochastic programming and duality theory in investment portfolios containing options for a hedge fund manager who attempts to beat a benchmark. Explicit optimal conditions for option investments are obtained for several models.
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عنوان ژورنال:
- Math. Program.
دوره 113 شماره
صفحات -
تاریخ انتشار 2008