Displaying similar documents to “Optimality of the replicating strategy for American options”

Variational approach to some optimization control problems

R. Bianchini (1995)

Banach Center Publications

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This paper presents the variational approach to some optimization problems: Mayer's problem with or without constraints on the final point, local controllability of a trajectory, time-optimal problems.

Dynamic portfolio optimization with risk management and strategy constraints

Csilla Krommerová, Igor Melicherčík (2014)

Kybernetika

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We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible...

A consumption-investment problem modelled as a discounted Markov decision process

Hugo Cruz-Suárez, Raúl Montes-de-Oca, Gabriel Zacarías (2011)

Kybernetika

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In this paper a problem of consumption and investment is presented as a model of a discounted Markov decision process with discrete-time. In this problem, it is assumed that the wealth is affected by a production function. This assumption gives the investor a chance to increase his wealth before the investment. For the solution of the problem there is established a suitable version of the Euler Equation (EE) which characterizes its optimal policy completely, that is, there are provided...