Stochastic optimization models in finance / editors, William T. Ziemba, Raymond G. Vickson.

Format:

Book

Contributor:

Ziemba, W. T.

Vickson, R. G.

Series:

World Scientific Handbook in Financial Economics Series

World Scientific Handbook in Financial Economics Series ; v.1

Language:

English

Subjects (All):

Finance.

Mathematical optimization.

Stochastic processes.

Physical Description:

1 online resource (0 p.)

Edition:

2006 ed.

Place of Publication:

Hackensack, NJ : World Scientific, c2006.

Language Note:

English

Summary:

A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s) Chapter 1: Expected Utility Theory (373 KB) Contents: Mathematics

Contents:

CONTENTS; Preface and Brief Notes to the 2006 Edition; Preface in 1975 Edition Acknowledgments; PART I. MATHEMATICAL TOOLS; Introduction; 1. Expected Utility Theory; 2. Convexity and the Kuhn Tucker Conditions; 3. Dynamic Programming; Computational and Review Exercises

Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS; Introduction; 1. Stochastic Dominance; 2. Measures of Risk Aversion; 3. Separation Theorems; Computational and Review Exercises; Mind-Expanding Exercises; PART III. STATIC PORTFOLIO SELECTION MODELS

Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions; 2. Existence and Diversification of Optimal Portfolio Policies; 3. Effects of Taxes on Risk Taking; Computational and Review Exercises; Mind-Expanding Exercises

PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction; 1. Models That Have a Single Decision Point; 2. Risk Aversion over Time Implies Static Risk Aversion; 3. Myopic Portfolio Policies; Computational and Review Exercises; Mind-Expanding Exercises

PART V. DYNAMIC MODELS Introduction; 1. Two-Period Consumption Models and Portfolio Revision; 2. Models of Optimal Capital Accumulation and Portfolio Selection; 3. Models of Option Strategy; 4. The Capital Growth Criterion and Continuous-Time Models

Computational and Review Exercises

Notes:

Originally published: New York : Academic Press, 1975, in series: Economic theory and mathematical economics.

Includes bibliographical references (p. 701-714) and index.

ISBN:

9786611379278

9781281379276

1281379271

9789812773654

9812773657

OCLC:

879023936