The duality of option investment strategies for hedge funds

J.R. Rodriguez-Mancilla; William T. Ziemba

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SPEPS Preprint

Author(s):	J.R. Rodriguez-Mancilla, Sauder School of Business at the University of British Columbia, Vancouver William T. Ziemba, Sauder School of Business at the University of British Columbia, Vancouver, and Swiss Banking Institute, University of Zurich, Zurich
Title:	The duality of option investment strategies for hedge funds
Date of Acceptance:	30.09.2003
Submission Date:	27.07.2003
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10059174)
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Abstract (eng):

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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