This paper studies the problem of maximizing expected utility from terminal wealth , combining a static position in derivative securities  with a traditional dynamic trading strategy in stocks. We work in the framework of a general semi-martingale model and consider a utility function defined on the positive real line.
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities , which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks. We work in the framework of a general semi-martingale model and consider a utility function defined on the positive real line.
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, which we assume can be traded only at time zero,