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We study the problem of portfolio optimization in an incomplete market using derivatives as well as basic assets such as stocks. In such markets, an investor may want to use derivatives, as a proxy for trading volatility, for instance, but they should be traded statically, or relatively infrequently, compared with assumed continuous trading of stocks,… (More)

- Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar
- Finance and Stochastics
- 2005

We study the problem of portfolio optimization in an incomplete market using derivatives as well as basic assets such as stocks. In such markets, an investor may want to use derivatives, as a proxy for trading volatility, for instance, but they should be traded statically, or relatively infrequently, compared with assumed continuous trading of stocks,… (More)

- Aytaç Ílhan, Ronnie Sircar
- 2003

We study optimal hedging of barrier options using a combination of a static position in vanilla options and dynamic trading of the underlying asset. The problem reduces to computing the Fenchel-Legendre transform of the utility-indifference price as a function of the number of vanilla options used to hedge. Using the well-known duality between exponential… (More)

- Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar
- SIAM Journal of Applied Mathematics
- 2004

We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks, and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an optimal static position for general convex risk measures, and then… (More)

Selected hedge funds employ trend-following strategies in an attempt to achieve superior risk adjusted returns. We employ a lookback straddle approach for evaluating the return characteristics of a trend following strategy. The strategies can improve investor performance in the context of a multi-period dynamic portfolio model. The gains are achieved by… (More)

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