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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kallsen, J. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Duality Links between Portfolio Optimization and Derivative Pricing 
Abstract:
This paper establishes links between approaches to portfolio optimization and derivative pricing as to be found in He & Pearson (1991), Karatzas (1996), Pliska (1997), Föllmer &Schweizer (1989), Schweizer (1995), Davis (1997), Fritelli & Bellini (1997), and Kallsen (1998) in a finite market setting. We show that expected utility maximization problems are related in a natural way to the choice of an equivalent martingale measure (or a similar object). This measure leads to so-called neutral derivative prices: Introduction of arbitrary derivatives at these prices does not affect the optimality of a portfolio. Moreover, we suggest a way to derivative valuation that is consistent with initially observed real market prices. 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Preprint Nr. 40, Mathematische Fakultät Universität Freiburg i. Br. 
Jahr:
1998 
Seitenangaben Beitrag:
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein