The duality of option investment strategies for hedge funds

• 成果类型: Article
• 署名作者: Rodriguez-Mancilla, Jose R.; Ziemba, William T.
• 署名单位: Bank of Mexico; University of British Columbia; University of Zurich; Massachusetts Institute of Technology (MIT); University of Oxford
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-007-0198-1
• 发表日期: 2008
• 页码: 95-131
• 关键词: risk; performance; management; COMPENSATION; return

摘要

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.