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Record Nr. |
UNINA9910451499003321 |
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Titolo |
Stochastic optimization models in finance [[electronic resource] /] / editors, William T. Ziemba, Raymond G. Vickson |
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Pubbl/distr/stampa |
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Hackensack, NJ, : World Scientific, c2006 |
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ISBN |
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1-281-37927-1 |
9786611379278 |
981-277-365-7 |
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Edizione |
[2006 ed.] |
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Descrizione fisica |
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Collana |
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World Scientific Handbook in Financial Economics Series ; ; v.1 |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Finance |
Mathematical optimization |
Stochastic processes |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Originally published: New York : Academic Press, 1975, in series: Economic theory and mathematical economics. |
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Nota di bibliografia |
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Includes bibliographical references (p. 701-714) and index. |
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Nota di contenuto |
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CONTENTS; 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 |
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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 |
Computational and Review Exercises |
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Sommario/riassunto |
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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 exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s) Chapter 1: Expected Utility Theory (373 KB) Contents: Mathematics |
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