Article citationsMore>>

R. C. Merton, “Optimum Consumption and Portfolio Rules in a Continuous-Time Model,” Journal of Economic Theory, Vol. 3, No. 4, 1971, pp. 373-413. http://dx.doi.org/10.1016/0022-0531(71)90038-X

has been cited by the following article:

• TITLE: Optimal Investment Strategy for Kinked Utility Maximization: Covered Call Option Strategy

  AUTHORS: Miwaka Yamashita

  KEYWORDS: Kinked Utility; Dual Utility; Covered Call Option

  JOURNAL NAME: Journal of Mathematical Finance, Vol.4 No.2, February 14, 2014

  ABSTRACT: This paper describes optimal investment strategies for kinked utility functions. One example is a CRRA utility function with a kink at a maximum wealth, which leads a covered call “like” strategy and the other is a CRRA utility function with a kink at a minimum wealth, which leads a protective put “like” strategy. This paper introduces analytic mathematical solutions providing a mathematical explanation of a dual utility where Black-Sholes assumption is utilized in the solutions. The intuitive solutions are clear for cases of those kinked utilities but minute mathematical explanation is described. Also a numerical simulation is performed for a covered call like strategy case.