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101 0 $aeng
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181   $ctxt
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200 00$aStochastic optimization models in finance$b[electronic resource] /$feditors, William T. Ziemba, Raymond G. Vickson
205   $a2006 ed.
210   $aHackensack, NJ $cWorld Scientific$dc2006
215   $a1 online resource (0 p.)
225 1 $aWorld Scientific Handbook in Financial Economics Series ;$vv.1
300   $aOriginally published: New York : Academic Press, 1975, in series: Economic theory and mathematical economics.
311   $a981-256-800-X 
320   $aIncludes bibliographical references (p. 701-714) and index.
327   $aCONTENTS; 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
327   $aMind-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
327   $aIntroduction 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
327   $aPART 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 Exercises
327   $aPART 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
327   $aComputational and Review Exercises
330   $aA reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.  Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.  Sample Chapter(s) Chapter 1: Expected Utility Theory (373 KB) Contents: Mathematics
410  0$aWorld Scientific Handbook in Financial Economics Series
606   $aFinance
606   $aMathematical optimization
606   $aStochastic processes
608   $aElectronic books.
615  0$aFinance.
615  0$aMathematical optimization.
615  0$aStochastic processes.
676   $a332.01/51922
701   $aZiemba$b W. T$0122735
701   $aVickson$b R. G$0911917
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910451499003321
996   $aStochastic optimization models in finance$92042048
997   $aUNINA