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Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson
| Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson |
| Autore | Ziemba W. T. |
| Pubbl/distr/stampa | New York : , : Academic Press, , 1975 |
| Descrizione fisica | 1 online resource (xvi, 719 pages) : illustrations |
| Disciplina |
332.01/51922
332.0151922 |
| Collana | Economic Theory and Mathematical Economics |
| Soggetto topico |
Finance - Mathematical models
Mathematical optimization Stochastic processes |
| ISBN | 1-4832-7399-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions and applications; 3. Remarks on pseudo-convex functions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes CHAPTER6. MIND-EXPANDING EXERCISES Exercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of Choices Involving Risk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance I. Introduction to Stochastic Dominance II. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor: The Separation Theorem; II -Portfolio Selection: The Optimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Short in Optimal Portfolios; IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive Markets Under Idealized Uncertainty |
| Record Nr. | UNINA-9910786796003321 |
Ziemba W. T.
|
||
| New York : , : Academic Press, , 1975 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson
| Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson |
| Autore | Ziemba W. T. |
| Pubbl/distr/stampa | New York : , : Academic Press, , 1975 |
| Descrizione fisica | 1 online resource (xvi, 719 pages) : illustrations |
| Disciplina |
332.01/51922
332.0151922 |
| Collana | Economic Theory and Mathematical Economics |
| Soggetto topico |
Finance - Mathematical models
Mathematical optimization Stochastic processes |
| ISBN | 1-4832-7399-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions and applications; 3. Remarks on pseudo-convex functions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes CHAPTER6. MIND-EXPANDING EXERCISES Exercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of Choices Involving Risk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance I. Introduction to Stochastic Dominance II. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor: The Separation Theorem; II -Portfolio Selection: The Optimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Short in Optimal Portfolios; IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive Markets Under Idealized Uncertainty |
| Record Nr. | UNINA-9910812511103321 |
|
Ziemba W. T.
|
||
| New York : , : Academic Press, , 1975 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||