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Optimal investment / L. C. G. Rogers.
Lippincott Library HG4529 .R64 2013
Available
- Format:
- Book
- Author/Creator:
- Rogers, L. C. G.
- Series:
- SpringerBriefs in quantitative finance
- SpringerBriefs in quantitative finance, 2192-7006
- Language:
- English
- Subjects (All):
- Investment analysis--Mathematical models.
- Investment analysis.
- Merton Model.
- Physical Description:
- x, 156 pages : illustrations ; 24 cm.
- Place of Publication:
- Berlin ; New York : Springer, 2013.
- Contents:
- 1. The Merton Problem
- Introduction
- The Value Function Approach
- The Dual Value Function Approach
- The Static Programming Approach
- The Pontryagin-Lagrange Approach
- When is the Merton Problem Well Posed?
- Linking Optimal Solutions to the State-Price Density
- Dynamic Stochastic General Equilibrium Models
- CRRA Utility and Efficiency
- 2. Variations
- The Finite-Horizon Merton Problem
- Interest-Rate Risk
- A Habit Formation Model
- Transaction Costs
- Optimisation under Drawdown Constraints
- Annual Tax Accounting
- History-Dependent Preferences
- Non-CRRA Utilities
- An Insurance Example with Choice of Premium Level
- Markov-Modulated Asset Dynamics
- Random Lifetime
- Random Growth Rate
- Utility from Wealth and Consumption
- Wealth Preservation Constraint
- Constraint on Drawdown of Consumption
- Option to Stop Early
- Optimization under Expected Shortfall Constraint
- Recursive Utility
- Keeping up with the Jones's
- Performance Relative to a Benchmark
- Utility from Slice of the Cake
- Investment Penalized by Riskiness
- Lower Bound for Utility
- Production and Consumption
- Preferences with Limited Look-Ahead
- Investing in an Asset with Stochastic Volatility
- Varying Growth Rate
- Beating a Benchmark
- Leverage Bound on the Portfolio
- Soft Wealth Drawdown
- Investment with Retirement
- Parameter Uncertainty
- Robust Optimization
- Labour Income
- 3. Numerical Solution
- Policy Improvement
- Optimal Stopping
- One-Dimensional Elliptic Problems
- Multi-Dimensional Elliptic Problems
- Parabolic Problems
- Boundary Conditions
- Iterative Solutions of PDEs
- Value Recursion
- Newton's Method
- 4. How Well Does It Work?
- Stylized Facts About Asset Returns
- Estimation of l: The 20s Example
- Estimation of V.
- Notes:
- Includes bibliographical references and index.
- ISBN:
- 3642352014
- 9783642352010
- OCLC:
- 816512490
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