Titolo: Optimal Portfolios: Stochastic Models for Optimal Investment and Risk Management in Continuous Time
Editore: World Scientific Publishing Company
Data di pubblicazione: 1997
Lingua: Inglese
ISBN 10: 9810232152
ISBN 13: 9789810232153
Rilegatura: Hardcover
Condizione: Very Good
Condizione della sovraccoperta: No Jacket
Peso: 1,4 libbre

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Riassunto

The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc. Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).

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