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Optimal portfolios [electronic resource] :stochastic models for optimal investment and risk management in continuous time / Ralf Korn.

By: Korn, Ralf.
Material type: materialTypeLabelBookPublisher: Singapore ; River Edge, NJ : World Scientific, c1997Description: 1 online resource (xi, 338 p.) : ill.ISBN: 9812385347 (electronic bk.); 9789812385345 (electronic bk.).Subject(s): Portfolio management -- Mathematical models | Options (Finance) -- Mathematical models | Risk management -- Mathematical models | Stochastic processes | Gestion de portefeuille -- Mod�eles math�ematiques | Options (Finances) -- Mod�eles math�ematiques | Gestion du risque -- Mod�eles math�ematiques | Processus stochastiques | BUSINESS & ECONOMICS -- Investments & Securities -- GeneralGenre/Form: Electronic books.DDC classification: 332.6/01/5118 Online resources: EBSCOhost
Contents:
Jacket; Cover; OPTIMAL PORTFOLIOS; Preface; Contents; Some Guidelines and General Notations; Chapter 1. Introduction and Discrete-Time Models; Chapter 2. The Continuous-Time Market Model; Chapter 3. The Continuous-Time Portfolio Problem; Chapter 4. Constrained Continuous-Time Problems; Chapter 5. Portfolio Optimisation in the Presence of Transcation Costs; Chapter 6. Non-Utility Based Portfolio Selection Models; Appendix; References; Index;
Summary: 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.
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Includes bibliographical references (p. 331-336) and index.

Description based on print version record.

Jacket; Cover; OPTIMAL PORTFOLIOS; Preface; Contents; Some Guidelines and General Notations; Chapter 1. Introduction and Discrete-Time Models; Chapter 2. The Continuous-Time Market Model; Chapter 3. The Continuous-Time Portfolio Problem; Chapter 4. Constrained Continuous-Time Problems; Chapter 5. Portfolio Optimisation in the Presence of Transcation Costs; Chapter 6. Non-Utility Based Portfolio Selection Models; Appendix; References; Index;

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.

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Optimal portfolios by Korn Ralf

World Scientific (Singapore) , 1997 xi,338p. 56

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