ENGLISH

Optimal portfolios: stochastic models for optimal investment and risk management in continuous time

By Ralf Korn

Book information

Publisher
World Scientific
Year
1997
ISBN
9810232152, 9789810232153, 9789812385345
LCC
HG4529.5 .K674 1997
Open Library ID
OL689313M
Language
english
Format
DJVU
Filesize
2 MB (2300433 bytes)
Pages
352\352
Library
Kolxo3
DPI
300
Scanned
yes
Time added
2009-07-20 03:45:11

Description

Focuses on the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. Beginning with presenting the complete Black-Scholes type model, the book moves on to incomplete models and models including constraints and transaction costs. The methods and models presented 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, and so forth. Stress is laid on rigorous mathematical presentation and clear economics interpretation while technicalities are kept to a minimum.

Similar books