Optimal Investment:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2013
|
| Schriftenreihe: | SpringerBriefs in Quantitative Finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis Abstract |
| Beschreibung: | X, 156 S. graph. Darst. |
| ISBN: | 9783642352010 3642352014 9783642352027 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text |
IMAGE 1
CONTENTS
1 THE MERTON PROBLEM 1
1.1 INTRODUCTION 1
1.2 THE VALUE FUNCTION APPROACH 4
1.3 THE DUAL VALUE FUNCTION APPROACH 11
1.4 THE STATIC PROGRAMMING APPROACH 14
1.5 THE PONTRYAGIN-LAGRANGE APPROACH 17
1.6 WHEN IS THE MERTON PROBLEM WELL POSED? 20
1.7 LINKING OPTIMAL SOLUTIONS TO THE STATE-PRICE DENSITY 22
1.8 DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS 23
1.9 CRRA UTILITY AND EFFICIENCY 28
2 VARIATIONS 29
2.1 THE FINITE-HORIZON MERTON PROBLEM 30
2.2 INTEREST-RATE RISK 31
2.3 A HABIT FORMATION MODEL 33
2.4 TRANSACTION COSTS 36
2.5 OPTIMISATION UNDER DRAWDOWN CONSTRAINTS 39
2.6 ANNUAL TAX ACCOUNTING 43
2.7 HISTORY-DEPENDENT PREFERENCES 45
2.8 NON-CRRA UTILITIES 47
2.9 AN INSURANCE EXAMPLE WITH CHOICE OF PREMIUM LEVEL 49
2.10 MARKOV-MODULATED ASSET DYNAMICS 53
2.11 RANDOM LIFETIME 57
2.12 RANDOM GROWTH RATE 59
2.13 UTILITY FROM WEALTH AND CONSUMPTION 61
2.14 WEALTH PRESERVATION CONSTRAINT 62
2.15 CONSTRAINT ON DRAWDOWN OF CONSUMPTION 64
2.16 OPTION TO STOP EARLY 68
2.17 OPTIMIZATION UNDER EXPECTED SHORTFALL CONSTRAINT 70
2.18 RECURSIVE UTILITY 72
IX
HTTP://D-NB.INFO/1027239110
IMAGE 2
X CONTENTS
2.19 KEEPING UP WITH THE JONES'S 73
2.20 PERFORMANCE RELATIVE TO A BENCHMARK 75
2.21 UTILITY FROM SLICE OF THE CAKE 76
2.22 INVESTMENT PENALIZED BY RISKINESS 77
2.23 LOWER BOUND FOR UTILITY 79
2.24 PRODUCTION AND CONSUMPTION 81
2.25 PREFERENCES WITH LIMITED LOOK-AHEAD 84
2.26 INVESTING IN AN ASSET WITH STOCHASTIC VOLATILITY 88
2.27 VARYING GROWTH RATE 91
2.28 BEATING A BENCHMARK 94
2.29 LEVERAGE BOUND ON THE PORTFOLIO 96
2.30 SOFT WEALTH DRAWDOWN 97
2.31 INVESTMENT WITH RETIREMENT 99
2.32 PARAMETER UNCERTAINTY 102
2.33 ROBUST OPTIMIZATION 106
2.34 LABOUR INCOME 110
3 NUMERICAL SOLUTION 115
3.1 POLICY IMPROVEMENT 117
3.1.1 OPTIMAL STOPPING 120
3.2 ONE-DIMENSIONAL ELLIPTIC PROBLEMS 121
3.3 MULTI-DIMENSIONAL ELLIPTIC PROBLEMS 123
3.4 PARABOLIC PROBLEMS 127
3.5 BOUNDARY CONDITIONS 130
3.6 ITERATIVE SOLUTIONS OF PDES 133
3.6.1 POLICY IMPROVEMENT 133
3.6.2 VALUE RECURSION 134
3.6.3 NEWTON'S METHOD 134
4 HOW WELL DOES IT WORK? 137
4.1 STYLIZED FACTS ABOUT ASSET RETURNS 139
4.2 ESTIMATION OF /I: THE 20S EXAMPLE 144
4.3 ESTIMATION OF V 146
REFERENCES 151
INDEX 153
OPTIMAL INVESTMENT
/ ROGERS, L. C. G.
: 2013
ABSTRACT / INHALTSTEXT
READERS OF THIS BOOK WILL LEARN HOW TO SOLVE A WIDE RANGE OF OPTIMAL
INVESTMENT PROBLEMS ARISING IN FINANCE AND ECONOMICS. STARTING FROM THE
FUNDAMENTAL MERTON PROBLEM, MANY VARIANTS ARE PRESENTED AND SOLVED,
OFTEN USING NUMERICAL TECHNIQUES THAT THE BOOK ALSO COVERS. THE FINAL
CHAPTER ASSESSES THE RELEVANCE OF MANY OF THE MODELS IN COMMON USE WHEN
APPLIED TO DATA
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. |
| any_adam_object | 1 |
| author | Rogers, Leonard C. G. |
| author_GND | (DE-588)13011359X |
| author_facet | Rogers, Leonard C. G. |
| author_role | aut |
| author_sort | Rogers, Leonard C. G. |
| author_variant | l c g r lcg lcgr |
| building | Verbundindex |
| bvnumber | BV040634606 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)828786802 (DE-599)DNB1027239110 |
| dewey-full | 332.60151923 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60151923 |
| dewey-search | 332.60151923 |
| dewey-sort | 3332.60151923 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV040634606 |
| illustrated | Illustrated |
| indexdate | 2024-08-21T00:24:40Z |
| institution | BVB |
| isbn | 9783642352010 3642352014 9783642352027 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025461794 |
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| owner_facet | DE-355 DE-BY-UBR DE-521 DE-83 |
| physical | X, 156 S. graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Springer |
| record_format | marc |
| series2 | SpringerBriefs in Quantitative Finance |
| spelling | Rogers, Leonard C. G. Verfasser (DE-588)13011359X aut Optimal Investment L. C. G. Rogers Berlin [u.a.] Springer 2013 X, 156 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier SpringerBriefs in Quantitative Finance Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Theorie (DE-588)4059787-8 gnd rswk-swf Ito-Formel (DE-588)4487896-5 gnd rswk-swf Hamilton-Jacobi-Differentialgleichung (DE-588)4158954-3 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Stochastische optimale Kontrolle (DE-588)4207850-7 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Stochastische optimale Kontrolle (DE-588)4207850-7 s Hamilton-Jacobi-Differentialgleichung (DE-588)4158954-3 s Ito-Formel (DE-588)4487896-5 s DE-604 Investition (DE-588)4027556-5 s Portfoliomanagement (DE-588)4115601-8 s Theorie (DE-588)4059787-8 s 1\p DE-604 Erscheint auch als Online-Ausgabe 10.1007/978-3-642-35202-7 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4168070&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025461794&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025461794&sequence=000005&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Rogers, Leonard C. G. Optimal Investment Portfoliomanagement (DE-588)4115601-8 gnd Theorie (DE-588)4059787-8 gnd Ito-Formel (DE-588)4487896-5 gnd Hamilton-Jacobi-Differentialgleichung (DE-588)4158954-3 gnd Portfolio Selection (DE-588)4046834-3 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd Investition (DE-588)4027556-5 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4059787-8 (DE-588)4487896-5 (DE-588)4158954-3 (DE-588)4046834-3 (DE-588)4207850-7 (DE-588)4027556-5 |
| title | Optimal Investment |
| title_auth | Optimal Investment |
| title_exact_search | Optimal Investment |
| title_full | Optimal Investment L. C. G. Rogers |
| title_fullStr | Optimal Investment L. C. G. Rogers |
| title_full_unstemmed | Optimal Investment L. C. G. Rogers |
| title_short | Optimal Investment |
| title_sort | optimal investment |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd Theorie (DE-588)4059787-8 gnd Ito-Formel (DE-588)4487896-5 gnd Hamilton-Jacobi-Differentialgleichung (DE-588)4158954-3 gnd Portfolio Selection (DE-588)4046834-3 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd Investition (DE-588)4027556-5 gnd |
| topic_facet | Portfoliomanagement Theorie Ito-Formel Hamilton-Jacobi-Differentialgleichung Portfolio Selection Stochastische optimale Kontrolle Investition |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=4168070&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025461794&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025461794&sequence=000005&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT rogersleonardcg optimalinvestment |