Optimal Portfolios: Stochastic Models for Optimal Investment and Risk Management in Continuous Time

Korn, Ralf

ISBN 10: 9810232152 ISBN 13: 9789810232153

Verlag: World Scientific Publishing Company, 1997

Sprache: Englisch

Zustand: Gebraucht - Gut Hardcover

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Bibliografische Details

Titel

Optimal Portfolios: Stochastic Models for Optimal Investment and Risk Management in Continuous Time

Verlag

World Scientific Publishing Company

Erscheinungsjahr

1997

Sprache

Englisch

ISBN-10

9810232152

ISBN-13

9789810232153

Einband

Hardcover

Zustand

Very Good

Zustand des Schutzumschlags

No Jacket

Verk�uferkataloge

�ber diesen Titel

Inhaltsangabe

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).

�ber die Autorin bzw. den Autor

Charlotte y Peter Fiell son dos autoridades en historia, teor�a y cr�tica del dise�o y han escrito m�s de sesenta libros sobre la materia, muchos de los cuales se han convertido en �xitos de ventas. Tambi�n han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Dise�o del siglo XX, El dise�o industrial de la A a la Z, Scandinavian Design y Dise�o del siglo XXI.

��ber diesen Titel� kann sich auf eine andere Ausgabe dieses Titels beziehen.

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