|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|
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|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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