Optimal portfolios : stochastic models for optimal investment and risk management in continuous time /
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 cos...
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore ; River Edge, NJ :
World Scientific,
©1997.
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| Subjects: | |
| Online Access: | CONNECT |
| 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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| Item Description: | EBSCO eBook Academic Comprehensive Collection North America EBSCO eBook Business Collection |
| Physical Description: | 1 online resource (xi, 338 pages) : illustrations |
| Bibliography: | Includes bibliographical references (pages 331-336) and index. |
| ISBN: | 9812385347 9789812385345 |
