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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.