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Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Autore Janssen Jacques <1939->
Pubbl/distr/stampa London, : ISTE
Descrizione fisica 1 online resource (874 p.)
Disciplina 332.01/51922
332.0151
Altri autori (Persone) MancaRaimondo
Volpe di PrignanoErnesto
Collana ISTE
Soggetto topico Finance - Mathematical models
Stochastic processes
Investments - Mathematics
ISBN 1-118-62241-3
1-282-16539-9
9786612165399
0-470-61169-3
0-470-39432-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate
2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity
3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness
4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations
4.5.1. General aspects
Record Nr. UNINA-9910139467903321
Janssen Jacques <1939->  
London, : ISTE
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Mathematical fianance [[electronic resource] ] : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Autore Janssen Jacques <1939->
Pubbl/distr/stampa London, : ISTE
Descrizione fisica 1 online resource (874 p.)
Disciplina 332.01/51922
332.0151
Altri autori (Persone) MancaRaimondo
Volpe di PrignanoErnesto
Collana ISTE
Soggetto topico Finance - Mathematical models
Stochastic processes
Investments - Mathematics
ISBN 1-118-62241-3
1-282-16539-9
9786612165399
0-470-61169-3
0-470-39432-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate
2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity
3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness
4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations
4.5.1. General aspects
Record Nr. UNINA-9910677466003321
Janssen Jacques <1939->  
London, : ISTE
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Mathematical fianance : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Mathematical fianance : deterministic and stochastic models / / Jacques Janssen, Raimondo Manca, Ernesto Volpe di Prignano
Autore Janssen Jacques <1939->
Pubbl/distr/stampa London, : ISTE
Descrizione fisica 1 online resource (874 p.)
Disciplina 332.01/51922
Altri autori (Persone) MancaRaimondo
Volpe di PrignanoErnesto
Collana ISTE
Soggetto topico Finance - Mathematical models
Stochastic processes
Investments - Mathematics
ISBN 9786612165399
9781118622414
1118622413
9781282165397
1282165399
9780470611692
0470611693
9780470394328
0470394323
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Mathematical Finance: Deterministic and Stochastic Models; Table of Contents; Preface; Part I. Deterministic Models; Chapter 1. Introductory Elements to Financial Mathematics; 1.1. The object of traditional financial mathematics; 1.2. Financial supplies. Preference and indifference relations; 1.2.1. The subjective aspect of preferences; 1.2.2. Objective aspects of financial laws. The equivalence principle; 1.3. The dimensional viewpoint of financial quantities; Chapter 2. Theory of Financial Laws; 2.1. Indifference relations and exchange laws for simple financial operations
2.2. Two variable laws and exchange factors2.3. Derived quantities in the accumulation and discount laws; 2.3.1. Accumulation; 2.3.2. Discounting; 2.4. Decomposable financial lawas; 2.4.1. Weak and strong decomposability properties: equivalence relations; 2.4.2. Equivalence classes: characteristic properties of decomposable laws; 2.5. Uniform financial laws: mean evaluations; 2.5.1. Theory of uniform exchange laws; 2.5.2. An outline of associative averages; 2.5.3. Average duration and average maturity; 2.5.4. Average index of return: average rate
2.6. Uniform decomposable financial laws: exponential regimeChapter 3. Uniform Regimes in Financial Practice; 3.1. Preliminary comments; 3.1.1. Equivalent rates and intensities; 3.2. The regime of simple delayed interest (SDI); 3.3. The regime of rational discount (RD); 3.4. The regime of simple discount (SD); 3.5. The regime of simple advance interest (SAI); 3.6. Comments on the SDI, RD, SD and SAI uniform regimes; 3.6.1. Exchange factors (EF); 3.6.2. Corrective operations; 3.6.3. Initial averaged intensities and instantaneous intensity
3.6.4. Average length in the linear law and their conjugates3.6.5. Average rates in linear law and their conjugated laws; 3.7. The compound interest regime; 3.7.1. Conversion of interests; 3.7.2. The regime of discretely compound interest (DCI); 3.7.3. The regime of continuously compound interest (CCI); 3.8. The regime of continuously comound discount (CCD); 3.9. Complements and exercises on compound regimes; 3.10. Comparison of laws of different regimes; Chapter 4. Financial Operations and their Evaluation: Decisional Criteria; 4.1. Calculation of capital values: fairness
4.2. Retrospective and prospective reserve4.3. Usufruct and bare ownership in "discrete" and "continuous" cases; 4.4. Methods and models for financial decisions and choices; 4.4.1. Internal rate as return index; 4.4.2. Outline on GDCF and "internal financial law"; 4.4.3. Classifications and propert of financial projects; 4.4.4. Decisional criteria for financial projects; 4.4.5. Choice criteria for mutually exclusive financial projects; 4.4.6. Mixed projects: the TRM method; 4.4.7. Dicisional criteria on mixed projects; 4.5. Appendix: outline on numberical methods for the solution of equations
4.5.1. General aspects
Record Nr. UNINA-9911019439703321
Janssen Jacques <1939->  
London, : ISTE
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Problems and solutions in mathematical finance . Volume 1 Stochastic calculus / / Eric Chin, Dian Nel and Sverrir Olafsson
Problems and solutions in mathematical finance . Volume 1 Stochastic calculus / / Eric Chin, Dian Nel and Sverrir Olafsson
Autore Chin Eric <1971->
Edizione [1st edition]
Pubbl/distr/stampa Hoboken : , : Wiley, , 2014
Descrizione fisica 1 online resource (439 pages)
Disciplina 332.01/51922
Collana Wiley finance series
Soggetto topico Finance - Mathematical models
Stochastic analysis
ISBN 1-118-84514-5
1-322-33487-0
1-119-96607-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface -- General probability theory -- Wiener process -- Stochastic di?erential equations -- Change of measure -- Poisson process -- A Mathematics formulae -- B Probability theory formulae -- C Differential equations formulae -- Bibliography -- Notation.
Record Nr. UNINA-9910208959103321
Chin Eric <1971->  
Hoboken : , : Wiley, , 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar
Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar
Autore Bhar Ramaprasad
Pubbl/distr/stampa Singapore ; ; Hackensack, N.J., : World Scientific, c2010
Descrizione fisica 1 online resource (400 p.)
Disciplina 332.01/51922
Soggetto topico Finance - Mathematical models
Stochastic analysis
Soggetto genere / forma Electronic books.
ISBN 1-283-14452-2
9786613144522
981-4304-86-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface; Contents; 1. Introduction: Stochastic Filtering in Finance; 2. Foreign Exchange Market - Filtering Applications; 3. Equity Market - Filtering Applications; 4. Filtering Application - Inflation and the Macroeconomy; 5. Interest Rate Model and Non-Linear Filtering; 6. Filtering and Hedging using Interest Rate Futures; 7. A Multifactor Model of Credit Spreads; 8. Credit Default Swaps - Filtering the Components; 9. CDS Options, Implied Volatility and Unscented Kalman Filter; 10. Stochastic Volatility Model and Non-Linear Filtering Application; 11. Applications for Filtering with Jumps
BibliographyIndex
Record Nr. UNINA-9910461629703321
Bhar Ramaprasad  
Singapore ; ; Hackensack, N.J., : World Scientific, c2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar
Stochastic filtering with applications in finance [[electronic resource] /] / Ramaprasad Bhar
Autore Bhar Ramaprasad
Pubbl/distr/stampa Singapore ; ; Hackensack, N.J., : World Scientific, c2010
Descrizione fisica 1 online resource (400 p.)
Disciplina 332.01/51922
Soggetto topico Finance - Mathematical models
Stochastic analysis
ISBN 1-283-14452-2
9786613144522
981-4304-86-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface; Contents; 1. Introduction: Stochastic Filtering in Finance; 2. Foreign Exchange Market - Filtering Applications; 3. Equity Market - Filtering Applications; 4. Filtering Application - Inflation and the Macroeconomy; 5. Interest Rate Model and Non-Linear Filtering; 6. Filtering and Hedging using Interest Rate Futures; 7. A Multifactor Model of Credit Spreads; 8. Credit Default Swaps - Filtering the Components; 9. CDS Options, Implied Volatility and Unscented Kalman Filter; 10. Stochastic Volatility Model and Non-Linear Filtering Application; 11. Applications for Filtering with Jumps
BibliographyIndex
Record Nr. UNINA-9910789406403321
Bhar Ramaprasad  
Singapore ; ; Hackensack, N.J., : World Scientific, c2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Stochastic finance : a numeraire approach / / by Jan Vecer
Stochastic finance : a numeraire approach / / by Jan Vecer
Autore Vecer Jan
Edizione [First edition.]
Pubbl/distr/stampa Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011
Descrizione fisica 1 online resource (339 p.)
Disciplina 332.01/51922
Collana Chapman and Hall/CRC Financial Mathematics Series
Soggetto topico Finance
Stochastic analysis
Soggetto genere / forma Electronic books.
ISBN 0-429-09240-7
1-4398-1250-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Title; Copyright; Contents; Introduction; Chapter 1: Elements of Finance; Chapter 2: Binomial Models; Chapter 3: Diffusion Models; Chapter 4: Interest Rate Contracts; Chapter 5: Barrier Options; Chapter 6: Lookback Options; Chapter 7: American Options; Chapter 8: Contracts on Three or More Assets: Quantos, Rainbows and "Friends"; Chapter 9: Asian Options; Chapter 10: Jump Models; Appendix A: Elements of Probability Theory; Solutions to Selected Exercises; References
Record Nr. UNINA-9910465183503321
Vecer Jan  
Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Stochastic finance : a numeraire approach / / by Jan Vecer
Stochastic finance : a numeraire approach / / by Jan Vecer
Autore Vecer Jan
Edizione [First edition.]
Pubbl/distr/stampa Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011
Descrizione fisica 1 online resource (339 p.)
Disciplina 332.01/51922
Collana Chapman and Hall/CRC Financial Mathematics Series
Soggetto topico Finance
Stochastic analysis
ISBN 0-429-09240-7
1-4398-1250-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Title; Copyright; Contents; Introduction; Chapter 1: Elements of Finance; Chapter 2: Binomial Models; Chapter 3: Diffusion Models; Chapter 4: Interest Rate Contracts; Chapter 5: Barrier Options; Chapter 6: Lookback Options; Chapter 7: American Options; Chapter 8: Contracts on Three or More Assets: Quantos, Rainbows and "Friends"; Chapter 9: Asian Options; Chapter 10: Jump Models; Appendix A: Elements of Probability Theory; Solutions to Selected Exercises; References
Record Nr. UNINA-9910792139003321
Vecer Jan  
Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui