Stochastic optimization models in finance [[electronic resource] /] / editors, William T. Ziemba, Raymond G. Vickson

• Pubblicazione: Hackensack, NJ, : World Scientific, c2006
• Edizione: 2006 ed.
• Descrizione fisica: 1 online resource (0 p.)
• Disciplina: 332.01/51922
• Soggetto topico: Finance; Mathematical optimization; Stochastic processes
• Soggetto genere / forma: Electronic books.
• Altri autori: ZiembaW. T VicksonR. G
• Note generali: Originally published: New York : Academic Press, 1975, in series: Economic theory and mathematical economics.
• Nota di bibliografia: Includes bibliographical references (p. 701-714) and index.
• Nota di contenuto: 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 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
• Sommario/riassunto: 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
• Titolo autorizzato: Stochastic optimization models in finance
• ISBN: 1-281-37927-1; 9786611379278; 981-277-365-7
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910451499003321
• Lo trovi qui: Univ. Federico II
• Serie: World Scientific Handbook in Financial Economics Series