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- Titel:
Duality Links between Portfolio Optimization and Derivative Pricing
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Kallsen, J.
- Nicht-TUM Koautoren:
- nein
- Kooperation:
- -
- 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
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