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Portfolio-consumption Problem with Options

Author: ZuoChong
Tutor: JiaGuangYan
School: Shandong University
Course: Probability Theory and Mathematical Statistics
Keywords: Options Optimal Investment and Consumption Dynamic programming principle Risky assets Risk-free assets
CLC: F830.59
Type: Master's thesis
Year: 2011
Downloads: 35
Quote: 0
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With the continuous improvement of the financial market and the development, a lot of financial derivatives, right on schedule, futures, etc., have become very popular on the capital market transaction object. Therefore, when investment object contains options how to arrange their own investment and consumption is currently facing the investment of the actual problem. Based on the Black - Scholes model hypothesis of market conditions, it is assumed that the investor's investment object contains a European call option, discussed in this case the investor the optimal investment problem of consumption. Establish utility maximization model, using the dynamic programming principle got about index utility function of the optimal investment strategy, consumer also have been investors hedging strategies, and the two strategies are compared, get the formula between them. Finally give examples to prove the optimal strategy is better than the hedging strategy.

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