Optimal portfolios : stochastic models for optimal investment and risk management in continuous time / Ralf Korn.

Format:

Book

Author/Creator:

Korn, Ralf.

Language:

English

Subjects (All):

Portfolio management--Mathematical models.

Portfolio management.

Options (Finance)--Mathematical models.

Options (Finance).

Risk management--Mathematical models.

Risk management.

Stochastic processes.

Physical Description:

1 online resource (352 p.)

Place of Publication:

Singapore ; River Edge, New Jersey : World Scientific, [1997]

Language Note:

English

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.

Contents:

Jacket; Cover; OPTIMAL PORTFOLIOS; Preface; Contents; Some Guidelines and General Notations; Chapter 1. Introduction and Discrete-Time Models; Chapter 2. The Continuous-Time Market Model; Chapter 3. The Continuous-Time Portfolio Problem; Chapter 4. Constrained Continuous-Time Problems; Chapter 5. Portfolio Optimisation in the Presence of Transcation Costs; Chapter 6. Non-Utility Based Portfolio Selection Models; Appendix; References; Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9786611869823

9781281869821

1281869821

9789812385345

9812385347

OCLC:

475900473