Optimal portfolios
stochastic models for optimal investment and risk management in continuous time
Korn, Ralf.
creator
text
bibliography
Electronic books.
si
Singapore
River Edge, NJ
World Scientific
c1997
1997
monographic
eng
1 online resource (xi, 338 p.) : ill.
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.
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;
Ralf Korn.
Includes bibliographical references (p. 331-336) and index.
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
HG4529.5 .K674 1997eb
332.6/01/5118
Optimal portfolios
Korn, Ralf.
Singapore ; River Edge, NJ : World Scientific, c1997
(DLC) 97036352
(OCoLC)37493387
9812385347 (electronic bk.)
9789812385345 (electronic bk.)
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=91447
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20140120112243.0
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