03007cam a2200493Ia 4500
ocm53008556
OCoLC
20140120112243.0
m o d
cr cn|
030911s1997 si a ob 001 0 eng d
N$T
eng
N$T
OCLCQ
YDXCP
OCLCQ
IDEBK
OCLCQ
MERUC
OCLCQ
9812385347 (electronic bk.)
9789812385345 (electronic bk.)
(OCoLC)53008556
HG4529.5
.K674 1997eb
BUS
036000
bisacsh
332.6/01/5118
22
ISIA
Korn, Ralf.
Optimal portfolios
[electronic resource] :
stochastic models for optimal investment and risk management in continuous time /
Ralf Korn.
Singapore ;
River Edge, NJ :
World Scientific,
c1997.
1 online resource (xi, 338 p.) :
ill.
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.
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
General.
bisacsh
Electronic books.
Print version:
Korn, Ralf.
Optimal portfolios.
Singapore ; River Edge, NJ : World Scientific, c1997
9810232152
(DLC) 97036352
(OCoLC)37493387
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