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Optimal investment with derivative securities
Aytaç Ílhan
, Mattias Jonsson
,
Ronnie Sircar
Operations Research & Financial Engineering
Bendheim Center for Finance
Research output
:
Contribution to journal
›
Article
›
peer-review
35
Scopus citations
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Keyphrases
Optimal Investment
100%
Static Position
100%
Derivative Securities
100%
Optimal Strategy
50%
Exponential Utility
50%
Utility Indifference Price
50%
Dynamic Trading Strategies
50%
Arbitrage-free Markets
50%
Strict Concavity
50%
Terminal Wealth
50%
Economics, Econometrics and Finance
Investors
100%
Wealth
50%
Arbitrage
50%