Optimal Investment with Stocks and Derivatives
arXiv:1210.5466
Abstract
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks. We work in the framework of a general semi-martingale model and consider a utility function defined on the positive real line.
I have decided to merge this paper with the following one http://arxiv.org/abs/1303.0237 The resulting longer merged article will be posted as http://arxiv.org/abs/1303.0237v2