We consider 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  . Using a general utility function defined on the positive real line, we study the dependence on the price of the derivatives of the outputs of the utility maximization problem  , investigating not only stability but also differentiability, monotonicity, convexity and asymptotic properties.
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.
R
We consider
This paper studies the problem of maximizing expected utility from terminal wealth in
A
and are modeled as locally-bounded semi-martingales
R
study the dependence on the price of the derivatives of the
first study existence and uniqueness of the solution, and then we consider the dependence of the
A
on the price of the derivatives
R
asymptotic
limiting