04035nam 22007214a 450 991045149900332120200520144314.01-281-37927-19786611379278981-277-365-7(CKB)1000000000409096(EBL)1679671(OCoLC)879023936(SSID)ssj0000251567(PQKBManifestationID)11939250(PQKBTitleCode)TC0000251567(PQKBWorkID)10170417(PQKB)10142241(MiAaPQ)EBC1679671(WSP)00006101(Au-PeEL)EBL1679671(CaPaEBR)ebr10201313(CaONFJC)MIL137927(EXLCZ)99100000000040909620060227e20061975 uy 0engurcn|||||||||txtccrStochastic optimization models in finance[electronic resource] /editors, William T. Ziemba, Raymond G. Vickson2006 ed.Hackensack, NJ World Scientificc20061 online resource (0 p.)World Scientific Handbook in Financial Economics Series ;v.1Originally published: New York : Academic Press, 1975, in series: Economic theory and mathematical economics.981-256-800-X Includes bibliographical references (p. 701-714) and index.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 ExercisesMind-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 MODELSIntroduction 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 ExercisesPART 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 Policies; Computational and Review Exercises; Mind-Expanding ExercisesPART 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 ModelsComputational and Review ExercisesA 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: MathematicsWorld Scientific Handbook in Financial Economics SeriesFinanceMathematical optimizationStochastic processesElectronic books.Finance.Mathematical optimization.Stochastic processes.332.01/51922Ziemba W. T122735Vickson R. G911917MiAaPQMiAaPQMiAaPQBOOK9910451499003321Stochastic optimization models in finance2042048UNINA