Stochastic Optimization Models in Finance.

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A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Ziemba, W. T.
Otros Autores: Vickson, Raymond G.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore : World Scientific Publishing Company, 2006.
Edición:2006th ed.
Colección:World Scientific handbook in financial economic series.
Temas:
Finance.
Mathematical optimization.
Stochastic processes.
Stochastic Processes
Finances.
Optimisation mathématique.
Processus stochastiques.
finance.
Finance
Mathematical optimization
Stochastic processes
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Preface and Brief Notes to the 2006 Edition ; Preface in 1975 Edition ; Acknowledgments ; PART I. MATHEMATICAL TOOLS; Introduction ; 1. Expected Utility Theory ; 2. Convexity and the Kuhn Tucker Conditions ; 3. Dynamic Programming ; Computational and Review Exercises.
  • Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS ; Introduction ; 1. Stochastic Dominance ; 2. Measures of Risk Aversion ; 3. Separation Theorems ; Computational and Review Exercises ; Mind-Expanding Exercises ; PART III. STATIC PORTFOLIO SELECTION MODELS.
  • Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions ; 2. Existence and Diversification of Optimal Portfolio Policies ; 3. Effects of Taxes on Risk Taking ; Computational and Review Exercises ; Mind-Expanding Exercises.
  • PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction ; 1. Models That Have a Single Decision Point ; 2. Risk Aversion over Time Implies Static Risk Aversion ; 3. Myopic Portfolio Policies ; Computational and Review Exercises ; Mind-Expanding Exercises.
  • PART V. DYNAMIC MODELS Introduction ; 1. Two-Period Consumption Models and Portfolio Revision ; 2. Models of Optimal Capital Accumulation and Portfolio Selection ; 3. Models of Option Strategy ; 4. The Capital Growth Criterion and Continuous-Time Models.

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