The Duality of Option Investment Strategies for Hedge Funds

This paper explores the structure of optimal investment strategies using stochastic programming and duality theory in investment portfolios containing options for a hedge fund manager who attempts to beat a benchmark. Explicit optimal conditions for option investments are obtained for several models.

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Year of publication:	2003-07-01
Authors:	Rodriguez-Mancilla, Jose R. ; Ziemba, William T.
Institutions:	Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern>
Subject:	Hedge Fund \| Stochastisches System \| Strategische Investitionsplanung

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Extent:	40 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 129 (2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858399