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 |
