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Stochastic optimization models in finance /
Stochastic Optimization Models in Finance.
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York :
Academic Press,
[1975]
|
| Colección: | Economic theory and mathematical economics.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 050 | 4 | |a HG174 |b .Z54 1975 | |
| 055 | 3 | |a HG174 |b S86 1975 | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 0 | 4 | |a 332/.01/84 |
| 082 | 0 | 4 | |a 332/.01/5118 |2 20 |
| 083 | 0 | |a Finance. Optimisation. Stochastic models | |
| 084 | |a cci1icc |2 lacc | ||
| 084 | |a *91B28 |2 msc | ||
| 084 | |a 00B60 |2 msc | ||
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| 049 | |a UAMI | ||
| 100 | 1 | |a Ziemba, W. T., |e compiler. | |
| 245 | 1 | 0 | |a Stochastic optimization models in finance / |c edited by W.T. Ziemba, R.G. Vickson. |
| 260 | |a New York : |b Academic Press, |c [1975] | ||
| 300 | |a 1 online resource (xvi, 719 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Economic theory and mathematical economics | |
| 504 | |a Includes bibliographical references (pages 701-714) and index. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1. Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4. Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS | |
| 505 | 8 | |a Abstract1. Introduction; 2. Properties of pseudo-convex functions andapplications; 3. Remarks on pseudo-convexfunctions; 4. Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes | |
| 505 | 8 | |a CHAPTER6. MIND-EXPANDING EXERCISESExercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of ChoicesInvolvingRisk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance | |
| 505 | 8 | |a I. Introduction to Stochastic DominanceII. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION | |
| 505 | 8 | |a 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I -- Portfolio Selection for an Individual Investor:The Separation Theorem; II -Portfolio Selection: TheOptimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Shortin Optimal Portfolios | |
| 505 | 8 | |a IV -- Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive MarketsUnder Idealized Uncertainty | |
| 520 | |a Stochastic Optimization Models in Finance. | ||
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Finance. | |
| 650 | 0 | |a Mathematical optimization. | |
| 650 | 0 | |a Stochastic processes. | |
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 2 | |a Stochastic Processes | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Optimisation mathématique. | |
| 650 | 6 | |a Processus stochastiques. | |
| 650 | 6 | |a Finances. | |
| 650 | 7 | |a finance. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 650 | 7 | |a Finance |2 fast | |
| 650 | 7 | |a Mathematical optimization |2 fast | |
| 650 | 7 | |a Stochastic processes |2 fast | |
| 650 | 7 | |a Entscheidungstheorie |2 gnd | |
| 650 | 7 | |a Investitionsentscheidung |2 gnd | |
| 650 | 7 | |a Portfolio Selection |2 gnd | |
| 650 | 7 | |a Stochastische Optimierung |2 gnd | |
| 650 | 7 | |a Unsicherheit |2 gnd | |
| 650 | 7 | |a Finanzierung |2 gnd | |
| 650 | 7 | |a Finanzmathematik |2 gnd | |
| 650 | 7 | |a Finances. |2 ram | |
| 650 | 7 | |a Optimisation mathématique. |2 ram | |
| 653 | 0 | 0 | |a banken |
| 653 | 0 | 0 | |a banks |
| 653 | 0 | 0 | |a valuta |
| 653 | 0 | 0 | |a currencies |
| 653 | 0 | 0 | |a finance |
| 653 | 0 | 0 | |a public finance |
| 653 | 0 | 0 | |a stochastische processen |
| 653 | 0 | 0 | |a stochastic processes |
| 653 | 1 | 0 | |a Financial Economics |
| 655 | 7 | |a Aufsatzsammlung. |0 (DE-588)4143413-4. |2 gnd | |
| 700 | 1 | |a Vickson, R. G., |e compiler. | |
| 758 | |i has work: |a Stochastic optimization models in finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGDy9wfjp7gR6hTP3wKcfq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Ziemba, W.T. |t Stochastic optimization models in finance. |d New York : Academic Press, [1975] |w (DLC) 75002322 |w (OCoLC)1195885 |
| 830 | 0 | |a Economic theory and mathematical economics. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1876959 |z Texto completo |
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