This study develops a truncated Gram–Charlier expansion (TGCE) option pricing model, which simultaneously considers the skewness, kurtosis and essentially truncated (bounded) interval in the underlying asset return. In addition to TGCE, a truncated Black–Scholes model is proposed also. The...

This study aims to demonstrate the optimal multiperiod dynamic asset allocation for a generalized situation and enable the investor to maximize his expected terminal wealth utility. Previous researches solved this problem constrained by the investor's utility function, the asset return...