Optimal Investment Strategy for Kinked Utility Maximization: Covered Call Option Strategy

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Investment Strategy for Risky Assets

We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor’s capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and ...

متن کامل

Call Admission Control Strategy for System Throughput Maximization Using DOVE

Tanzilah Noor Shabnam, Md. Imdadul Islam, M. R. Amin 1, First Department of Electronics and Communications Engineering,East West University, 43 Mohakhali, Dhaka 1212, Bangladesh, [email protected] Department of Computer Science and Engineering, Jahangirnagar University, Savar, Dhaka 1342, Banglades, [email protected] *3,Corresponding Department of Electronics and Communications Engineerin...

متن کامل

Optimal Investment Strategy under Lévy ambiguity

This paper examines an optimal investment problem of Abel and Eberly (1997) and Imai and Tsujimura (2016) under higher degree of ambiguity. To that end we introduces an exponential Lévy process as the underlying risk process of the project. The ambiguity indicates a manager’s disconfidence with respect to the underlying model. It can be formulated as allowing one to change the reference probabi...

متن کامل

The Optimal Investment Strategy of Information Security

This study analyzes an optimal investment strategy for information security (IS) for a profit-maximizing online monopoly when it is facing attacks from cyber criminals by considering a network security theoretical model with time-varying characteristics. The intangible profit of security investment is transformed into a measurable sales benefit by using a successful entry ratio that links the r...

متن کامل

Optimal investment strategy for defined contribution pension schemes

We analyse the financial risk in a defined contribution pension scheme, applying dynamic programming techniques to find an optimal investment strategy for the scheme member. We use a series of interim targets and a target at retirement linked to the desired net replacement ratio. We consider both the investment risk and the annuitisation risk faced by the individual and specifically consider th...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Mathematical Finance

سال: 2014

ISSN: 2162-2434,2162-2442

DOI: 10.4236/jmf.2014.42006