Optimal portfolios : stochastic models for optimal investment and risk management in continuous time /

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 cos...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Korn, Ralf
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore ; River Edge, NJ : World Scientific, ©1997.
Temas:
Portfolio management > Mathematical models.
Options (Finance) > Mathematical models.
Risk management > Mathematical models.
Stochastic processes.
Stochastic Processes
Gestion de portefeuille > Modèles mathématiques.
Options (Finances) > Modèles mathématiques.
Gestion du risque > Modèles mathématiques.
Processus stochastiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Portfolio-analyse.
Opties.
Risicobeheersing.
Wiskundige modellen.
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