Optimal positioning in derivative securities

  title={Optimal positioning in derivative securities},
  author={Peter Carr and D. Madan},
We consider a simple single period economy in which agents invest so as to maximize expected utility of terminal wealth. We assume the existence of three asset classes, namely a riskless asset (the bond), a single risky asset (the stock), and European options of all strikes (derivatives). In this setting, the inability to trade continuously potentially induces investment in all three asset classes. We consider both a partial equilibrium where all asset prices are initially given, and a more… CONTINUE READING
Highly Cited
This paper has 82 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.

Explore Further: Topics Discussed in This Paper


Publications citing this paper.
Showing 1-10 of 60 extracted citations

Optimal hedging of path-dependent basket options with additive models

2015 54th IEEE Conference on Decision and Control (CDC) • 2015
View 4 Excerpts
Highly Influenced

Portfolio Optimization and Rank Dependent Expected Utility

J-L. Prigent
View 3 Excerpts
Highly Influenced

Investment system specific option pricing intervals in incomplete markets

2007 American Control Conference • 2007
View 4 Excerpts
Highly Influenced

The Distribution of Risk Aversion ∗

Gurdip Bakshia, Dilip Madanb
View 8 Excerpts
Highly Influenced

An Alternative Approach for Valuing Continuous Cash Flows

Peter Carr Alex Lipton Dilip Madan
View 4 Excerpts
Highly Influenced

83 Citations

Citations per Year
Semantic Scholar estimates that this publication has 83 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-10 of 46 references

The valuation of uncertain income streams and the pricing of options

M Rubinstein
Bell J. Econ • 1976
View 5 Excerpts
Highly Influenced

Optimum consumption and portfolio rules in a continuous time model

R CMerton
J. Econ. Theory • 1971
View 5 Excerpts
Highly Influenced

On equilibrium asset price processes Rev

H He, H Leland
Financial Studies • 1993
View 7 Excerpts
Highly Influenced

Foundations for Financial Economics (New York: North-Holland

C FHuang, R Litzenberger
View 6 Excerpts
Highly Influenced

Spanning and completeness in markets with contingent claims

R CGreen, R AJarrow
J. Econ. Theory • 1987
View 4 Excerpts
Highly Influenced

Optimal portfolio insurance

M JBrennan, R Solanki
J. Financial Quantitative Anal • 1981
View 6 Excerpts
Highly Influenced

The pricing of contingent claims in discrete time models

M JBrennan
J. Finance • 1979
View 11 Excerpts
Highly Influenced

Similar Papers

Loading similar papers…