eBook - PDF

Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time

Name: Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time
ISBN: 9789812385345

Stochastic Models for Optimal Investment and Risk Management in Continuous Time

Ralf Korn,

352 pages
English
PDF
Available on iOS & Android

eBook - PDF

Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time

Stochastic Models for Optimal Investment and Risk Management in Continuous Time

Ralf Korn,

About this book

The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).

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Yes, you can access Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time by Ralf Korn in PDF and/or ePUB format, as well as other popular books in Biological Sciences & Science General. We have over one million books available in our catalogue for you to explore.