Now showing items 1-10 of 25
On Leland's option hedging strategy with transaction costs
Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous trading. Leland (1985) developed a hedging strategy which modifies the Black-Scholes hedging strategy with a volatility ...
Intertemporal mean-variance efficiency with a Markovian state price density
This paper extends Merton's continuous time (instantaneous) mean-variance analysis and the mutual fund separation theory. Given the existence of a Markovian state price density process, the optimal portfolios from concave ...
Portfolio optimization with stochastic dominance constraints
We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints ...
An Ergodic Theorem for Random Lagrangians with an Application to Stochastic Programming
We prove an ergodic theorem showing the almost sure epi/hypo-convergence of a sequence of random lagrangians to a limit lagrangian where the random lagrangians are generated by stationary sampling of a probability measure. ...
Epi-convergent discretizations of stochastic programs via integration quadratures
Modern integration quadratures are designed to produce finitely supported approximations of a given (probability) measure. This makes them well suited for discretization of stochastic programs. We give conditions that ...