Login
- Title:
Duality Links between Portfolio Optimization and Derivative Pricing
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Kallsen, J.
- Non-TUM Co-author(s):
- nein
- Cooperation:
- -
- 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
- Journal title:
- Preprint Nr. 40, Mathematische Fakultät Universität Freiburg i. Br.
- Year:
- 1998
- Pages contribution:
- -
- Language:
- en
- Key publication:
- Nein
- Peer reviewed:
- Nein
- International:
- Ja
- Book review:
- Nein
- Commissioned:
- not commissioned
- Professional Journal:
- Nein
BibTeX
versions
