Optimal investment with derivative securities

Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar

Research output: Contribution to journalArticlepeer-review

34 Scopus citations


We consider an investor who maximizes expected exponential utility of terminal wealth, combining a static position in derivative securities with a traditional dynamic trading strategy in stocks. Our main result, obtained by studying the strict concavity of the utility-indifference price as a function of the static positions, is that, in a quite general incomplete arbitrage-free market, there exists a unique optimal strategy for the investor.

Original languageEnglish (US)
Pages (from-to)585-595
Number of pages11
JournalFinance and Stochastics
Issue number4
StatePublished - Oct 2005
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Finance
  • Statistics, Probability and Uncertainty


  • Convex duality
  • Incomplete markets
  • Indifference price
  • Utility maximization


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