The duality of option investment strategies for hedge funds
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- Rodríguez-Mancilla, J.R. & Ziemba, W.T. Math. Program. (2008) 113: 95. doi:10.1007/s10107-007-0198-1
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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.