Holdings: Stochastic optimization models in finance

Stochastic optimization models in finance:

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Bibliographic Details
Other Authors:	Ziemba, William T. 1941- (Editor)
Format:	Book
Language:	English
Published:	Singapore [u.a.] World Scientific Publ. 2006
Edition:	2006 ed.
Subjects:	Investitionsentscheidung Portfolio Selection Unsicherheit Finanzmathematik Stochastische Optimierung Finanzierung Entscheidungstheorie Aufsatzsammlung
Online Access:	Inhaltsverzeichnis
Item Description:	Originally published: New York: Academic Press, 1975, in series: Economic theory and mathematical economics Literaturverz. S. 701 - 714
Physical Description:	XXXV, 719 S. graph. Darst.
ISBN:	981256800X

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MARC


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Record in the Search Index

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adam_text	CONTENTS PREFACE AND BRIEF NOTES TO THE 2006 EDITION* XIII PREFACE IN 1975 EDITION* XXXI ACKNOWLEDGMENTS* XXXV PART I. MATHEMATICAL TOOLS INTRODUCTION* 3 1. EXPECTED UTILITY THEORY* 11 * GENERAL THEORY OF SUBJECTIVE PROBABILITIES AND EXPECTED UTILITIES PETER C. FISHBURN THE ANNALS OF MATHEMATICAL STATISTICS 40, 1419-1429 (1969)* II 2. CONVEXITY AND THE KUHNTUCKER CONDITIONS 23 PSEUDO-CONVEX FUNCTIONS O. L. MANGASARIAN JOURNAL OF SIAM CONTROL A3, 281-290 (1965)* 23 CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS O. L. MANGASARIAN CAHIERS DU CENTRE D ETUDES DE RECHERCHE OPERATIONELLE 12, 114-122(1970)* 33 3. DYNAMIC PROGRAMMING* 43 INTRODUCTION TO DYNAMIC PROGRAMMING W. T. ZIEMBA* 43 COMPUTATIONAL AND REVIEW EXERCISES* 57 MIND-EXPANDING EXERCISES* 67 PART II. QUALITATIVE ECONOMIC RESULTS INTRODUCTION* 81 1. STOCHASTIC DOMINANCE* 89 THE EFFICIENCY ANALYSIS OF CHOICES INVOLVING RISK G. HANOCH AND H. LEVY THE REVIEW OF ECONOMIC STUDIES 36, 335-346 (1969)* 89 A UNIFIED APPROACH TO STOCHASTIC DOMINANCE S. L. BRUMELLE AND R. G. VICKSON* 101 2. MEASURES OF RISK AVERSION* 115 RISK AVERSION IN THE SMALL AND IN THE LARGE JOHN W. PRATT ECONOMETRICA 32, 122-136 (1964)* 115 3. SEPARATION THEOREMS* 131 THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS JOHN LINTNER THE REVIEW OF ECONOMICS AND STATISTICS 47, 13-37 (1965)* 131 SEPARATION IN PORTFOLIO ANALYSIS R. G. VICKSON* 157 COMPUTATIONAL AND REVIEW EXERCISES* 171 MIND-EXPANDING EXERCISES* 183 PART III. STATIC PORTFOLIO SELECTION MODELS INTRODUCTION* 203 1. MEAN-VARIANCE AND SAFETY FIRST APPROACHES AND THEIR EXTENSIONS* 215 THE FUNDAMENTAL APPROXIMATION THEOREM OF PORTFOLIO ANALYSIS IN TERMS OF MEANS, VARIANCES AND HIGHER MOMENTS PAUL A. SAMUELSON THE REVIEW OF ECONOMIC STUDIES 37, 537-542 (1970)* 215 THE ASYMPTOTIC VALIDITY OF QUADRATIC UTILITY AS THE TRADING INTERVAL APPROACHES ZERO JAMES A. OHLSON* 221 SAFETY-FIRST AND EXPECTED UTILITY MAXIMIZATION IN MEAN-STANDARD DEVIATION PORTFOLIO ANALYSIS DAVID H. PYLE AND STEPHEN J. TURNOVSKY THE REVIEW OF ECONOMICS AND STATISTICS 52, 75-81 (1970)* 235 CHOOSING INVESTMENT PORTFOLIOS WHEN THE RETURNS HAVE STABLE DISTRIBUTIONS W. T. ZIEMBA MATHEMATICAL PROGRAMMING IN THEORY AND PRACTICE, P. L. HAMMER AND G. ZOUTENDIJK, EDS., PP. 443-482. NORTH-HOLLAND, AMSTERDAM (1974)* 243 2. EXISTENCE AND DIVERSIFICATION OF OPTIMAL PORTFOLIO POLICIES* 267 ON THE EXISTENCE OF OPTIMAL POLICIES UNDER UNCERTAINTY HAYNE E. LELAND JOURNAL OF ECONOMIC THEORY 4, 35-44 (1972)* 267 GENERAL PROOF THAT DIVERSIFICATION PAYS PAUL A. SAMUELSON JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 2, 1-13 (1967)* 277 3. EFFECTS OF TAXES ON RISK TAKING* 291 THE EFFECTS OF INCOME, WEALTH, AND CAPITAL GAINS TAXATION ON RISK-TAKING J. E. STIGLITZ QUARTERLY JOURNAL OF ECONOMICS 83, 263-283 (1967)* 291 SOME EFFECTS OF TAXES ON RISK-TAKING . NAESLUND THE REVIEW OF ECONOMIC STUDIES 35, 289-306 (1968) 313 COMPUTATIONAL AND REVIEW EXERCISES* 331 MIND-EXPANDING EXERCISES* 343 PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS INTRODUCTION* 367 1. MODELS THAT HAVE A SINGLE DECISION POINT* 373 INVESTMENT ANALYSIS UNDER UNCERTAINTY ROBERT WILSON MANAGEMENT SCIENCE 15, -650--664 (1969)* 373 2. RISK AVERSION OVER TIME IMPLIES STATIC RISK AVERSION* 389 MULTIPERIOD CONSUMPTION-INVESTMENT DECISIONS EUGENE F. FAMA THE AMERICAN ECONOMIC REVIEW 60, 163-174 (1970)* 389 3. MYOPIC PORTFOLIO POLICIES* 401 ON OPTIMAL MYOPIC PORTFOLIO POLICIES, WITH AND WITHOUT SERIAL CORRELATION OF YIELDS NILS H. HAKANSSON THE JOURNAL OF BUSINESS OF THE UNIVERSITY OF CHICAGO 44, 324-334 (1971) 401 COMPUTATIONAL AND REVIEW EXERCISES* 413 MIND -EXPANDING EXERCISES* 417 PART V. DYNAMIC MODELS INTRODUCTION* 429 APPENDIX A. AN INTUITIVE OUTLINE OF STOCHASTIC DIFFERENTIAL EQUATIONS AND STOCHASTIC OPTIMAL CONTROL R. G. VICKSON* 453 1. TWO-PERIOD CONSUMPTION MODELS AND PORTFOLIO REVISION* 459 CONSUMPTION DECISIONS UNDER UNCERTAINTY JACQUES H. DREZE AND FRANCO MODIGLIANI JOURNAL OF ECONOMIC THEORY 5, 308-335 (1972)* 459 A DYNAMIC MODEL FOR BOND PORTFOLIO MANAGEMENT STEPHEN P. BRADLEY AND DWIGHT B. CRANE MANAGEMENT SCIENCE 19, 139-15I (1972)* 487 2. MODELS OF OPTIMAL CAPITAL ACCUMULATION AND PORTFOLIO SELECTION* 501 MULTIPERIOD CONSUMPTION-INVESTMENT DECISIONS AND RISK PREFERENCE EDWIN H. NEAVE JOURNAL OF ECONOMIC THEORY 3, 40-53 (197I)* 501 LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING PAUL A. SAMUELSON THE REVIEW OF ECONOMICS AND STATISTICS 51, 239-246 (1969)* 517 OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS NILS H. HAKANSSON ECONOMETRICS 38, 587-607 (1970)* 525 3. MODELS OF OPTION STRATEGY* 547 THE VALUE OF THE CALL OPTION ON A BOND GORDON PYE JOURNAL OF POLITICAL ECONOMY 74, 200-205 (1966)* 547 EVALUATING A CALL OPTION AND OPTIMAL TIMING STRATEGY IN THE STOCK MARKET HOWARD M. TAYLOR MANAGEMENT SCIENCE 14, 111-120 (1967)* 553 BOND REFUNDING WITH STOCHASTIC INTEREST RATES BASIL A. KALYMON MANAGEMENT SCIENCE 18, 171-183 (1971)* 563 MINIMAX POLICIES FOR SELLING AN ASSET AND DOLLAR AVERAGING GORDON PYE MANAGEMENT SCIENCE 17, 379-393 (1971)* 577 4. THE CAPITAL GROWTH CRITERION AND CONTINUOUS-TIME MODELS* 593 INVESTMENT POLICIES FOR EXPANDING BUSINESSES OPTIMAL IN A LONG-RUN SENSE LEO BREIMAN NAVAL RESEARCH LOGISTICS QUARTERLY 7, 647-651 (1960)* 593 PORTFOLIO CHOICE AND THE KELLY CRITERION EDWARD O. THORP* 599 BUSINESS AND ECONOMICS STATISTICS SECTION. PROCEEDINGS OF THE AMERICAN STATISTICAL ASSOCIATION 215-224 (1971). OPTIMUM CONSUMPTION AND PORTFOLIO RULES IN A CONTINUOUS-TIME MODEL ROBERT C. MERTON JOURNAL OF ECONOMIC THEORY 3, 373-413 (1971)* 621 COMPUTATIONAL AND REVIEW EXERCISES* 663 MIND-EXPANDING EXERCISES* 677 BIBLIOGRAPHY* 701 INDEX* 715
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publisher	World Scientific Publ.
record_format	marc
spelling	Stochastic optimization models in finance eds. William T. Ziemba ... 2006 ed. Singapore [u.a.] World Scientific Publ. 2006 XXXV, 719 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Originally published: New York: Academic Press, 1975, in series: Economic theory and mathematical economics Literaturverz. S. 701 - 714 Investitionsentscheidung (DE-588)4162244-3 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Unsicherheit (DE-588)4186957-6 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Stochastische Optimierung (DE-588)4057625-5 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Entscheidungstheorie (DE-588)4138606-1 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzmathematik (DE-588)4017195-4 s Stochastische Optimierung (DE-588)4057625-5 s DE-604 Finanzierung (DE-588)4017182-6 s 2\p DE-604 Entscheidungstheorie (DE-588)4138606-1 s 3\p DE-604 Unsicherheit (DE-588)4186957-6 s 4\p DE-604 Portfolio Selection (DE-588)4046834-3 s 5\p DE-604 Investitionsentscheidung (DE-588)4162244-3 s 6\p DE-604 Ziemba, William T. 1941- (DE-588)108488713 edt OEBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020142600&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 5\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 6\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk
spellingShingle	Stochastic optimization models in finance Investitionsentscheidung (DE-588)4162244-3 gnd Portfolio Selection (DE-588)4046834-3 gnd Unsicherheit (DE-588)4186957-6 gnd Finanzmathematik (DE-588)4017195-4 gnd Stochastische Optimierung (DE-588)4057625-5 gnd Finanzierung (DE-588)4017182-6 gnd Entscheidungstheorie (DE-588)4138606-1 gnd
subject_GND	(DE-588)4162244-3 (DE-588)4046834-3 (DE-588)4186957-6 (DE-588)4017195-4 (DE-588)4057625-5 (DE-588)4017182-6 (DE-588)4138606-1 (DE-588)4143413-4
title	Stochastic optimization models in finance
title_auth	Stochastic optimization models in finance
title_exact_search	Stochastic optimization models in finance
title_full	Stochastic optimization models in finance eds. William T. Ziemba ...
title_fullStr	Stochastic optimization models in finance eds. William T. Ziemba ...
title_full_unstemmed	Stochastic optimization models in finance eds. William T. Ziemba ...
title_short	Stochastic optimization models in finance
title_sort	stochastic optimization models in finance
topic	Investitionsentscheidung (DE-588)4162244-3 gnd Portfolio Selection (DE-588)4046834-3 gnd Unsicherheit (DE-588)4186957-6 gnd Finanzmathematik (DE-588)4017195-4 gnd Stochastische Optimierung (DE-588)4057625-5 gnd Finanzierung (DE-588)4017182-6 gnd Entscheidungstheorie (DE-588)4138606-1 gnd
topic_facet	Investitionsentscheidung Portfolio Selection Unsicherheit Finanzmathematik Stochastische Optimierung Finanzierung Entscheidungstheorie Aufsatzsammlung
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020142600&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT ziembawilliamt stochasticoptimizationmodelsinfinance

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