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.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Jacket; Cover; OPTIMAL PORTFOLIOS; Preface; Contents; Some Guidelines and General Notations; Chapter 1. Introduction and Discrete-Time Models; Chapter 2. The Continuous-Time Market Model; Chapter 3. The Continuous-Time Portfolio Problem; Chapter 4. Constrained Continuous-Time Problems; Chapter 5. Portfolio Optimisation in the Presence of Transcation Costs; Chapter 6. Non-Utility Based Portfolio Selection Models; Appendix; References; Index.

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