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

By: Material type: TextTextPublication details: Singapore ; River Edge, NJ : World Scientific, ©1997.Description: 1 online resource (xi, 338 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9812385347
  • 9789812385345
Subject(s): Additional physical formats: Print version:: Optimal portfolios.DDC classification:
  • 332.6/01/5118 22
LOC classification:
  • HG4529.5 .K674 1997eb
Online resources:
Contents:
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.
Summary: 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.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Business Available
Total holds: 0

Includes bibliographical references (pages 331-336) and index.

Print version record.

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.

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.

Added to collection customer.56279.3

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