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• W48659812 abstract "We determine the optimal investment in a risky asset, and in a set of derivatives written on this asset, when the underlying price process is a pure jump L evy process. Both the in nite horizon problem with intermediate consumption and the nite horizon problem with no intermediate consumption are solved in closed form for investors with HARA utility when the statistical and risk-neutral price processes are in the variance gamma (VG) class of processes. We nd that optimal derivative contracts are written on successive price relatives, paying a function of these relatives continuously through time. For statistical volatilities below risk-neutral ones, we show that the optimal derivative contract for intermediate levels of risk aversion is a collar that nances downside protection by selling o upside gain." @default.
• W48659812 created "2016-06-24" @default.
• W48659812 creator A5025866383 @default.
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• W48659812 date "1999-01-01" @default.
• W48659812 modified "2023-09-27" @default.
• W48659812 title "Optimal Derivative Investment in Continuous Time" @default.
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