|edoc-Server der Humboldt-Universität zu Berlin|
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|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059174)|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|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.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jul 2011: