摘要翻译：
本文研究了半静态市场中终端财富的期望效用最大化问题，该半静态市场由假定只能在零点交易的衍生证券和可以在时间上连续交易的股票组成，并将其建模为局部有界半鞅。利用定义在正实线上的一般效用函数，我们首先研究了效用最大化问题解的存在唯一性，然后考虑了效用最大化问题的输出对导数价格的依赖关系，不仅研究了稳定性，而且研究了可微性、单调性、凸性和极限性。
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英文标题：
《Optimal investment and price dependence in a semi-static market》
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作者：
Pietro Siorpaes
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously in time and are modeled as locally-bounded semi-martingales.   Using a general utility function defined on the positive real line, we first study existence and uniqueness of the solution, and then we consider the dependence of the outputs of the utility maximization problem on the price of the derivatives, investigating not only stability but also differentiability, monotonicity, convexity and limiting properties.
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PDF链接：
https://arxiv.org/pdf/1303.0237