Obsah
Table of Contents
1 Introduction
2 Utility function
3 Formulation of the problem
4 Dynamic optimisation
5 Numerical implementation
6 Results for alpha = 1
7 General values of alpha
8 Comparison with the Black-Scholes delta hedge
9 Optimisation of investors utility
10 Relationship between the generalised Sharpe ratio, transaction costs
and the option price premium
11 Conclusion
Bibliography