Optimal portfolios: stochastic models for optimal investment and risk management in continuous time
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific
[1997]
|
| Schlagworte: | |
| Online-Zugang: | UER01 Volltext |
| Beschreibung: | Includes bibliographical references (pages 331-336) and index 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 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 |
| Beschreibung: | 1 Online-Ressource (xi, 338 pages) |
| ISBN: | 9812385347 9789812385345 |
Internformat
MARC
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| 100 | 1 | |a Korn, Ralf |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Optimal portfolios |b stochastic models for optimal investment and risk management in continuous time |c Ralf Korn |
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| 500 | |a Includes bibliographical references (pages 331-336) and index | ||
| 500 | |a 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 | ||
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| 650 | 4 | |a Options (Finances) / Modèles mathématiques | |
| 650 | 4 | |a Gestion du risque / Modèles mathématiques | |
| 650 | 4 | |a Processus stochastiques | |
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| 650 | 7 | |a Options (Finance) / Mathematical models |2 fast | |
| 650 | 7 | |a Portfolio management / Mathematical models |2 fast | |
| 650 | 7 | |a Risk management / Mathematical models |2 fast | |
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| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Wirtschaft | |
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| 650 | 4 | |a Options (Finance) |x Mathematical models | |
| 650 | 4 | |a Risk management |x Mathematical models | |
| 650 | 4 | |a Stochastic processes | |
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Datensatz im Suchindex
| _version_ | 1804175288879284224 |
|---|---|
| any_adam_object | |
| author | Korn, Ralf |
| author_facet | Korn, Ralf |
| author_role | aut |
| author_sort | Korn, Ralf |
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| building | Verbundindex |
| bvnumber | BV042964449 |
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| dewey-full | 332.6/01/5118 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6/01/5118 |
| dewey-search | 332.6/01/5118 |
| dewey-sort | 3332.6 11 45118 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042964449 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:55Z |
| institution | BVB |
| isbn | 9812385347 9789812385345 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028390316 |
| oclc_num | 53008556 |
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| owner_facet | DE-1046 DE-1047 DE-29 |
| physical | 1 Online-Ressource (xi, 338 pages) |
| psigel | ZDB-4-EBA ZDB-4-EBU FAW_PDA_EBA FLA_PDA_EBU ZDB-4-EBA UER_PDA_EBA_Kauf |
| publishDate | 1997 |
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| publisher | World Scientific |
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| spelling | Korn, Ralf Verfasser aut Optimal portfolios stochastic models for optimal investment and risk management in continuous time Ralf Korn Singapore World Scientific [1997] 1 Online-Ressource (xi, 338 pages) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references (pages 331-336) and index 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 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 Gestion de portefeuille / Modèles mathématiques Options (Finances) / Modèles mathématiques Gestion du risque / Modèles mathématiques Processus stochastiques BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Options (Finance) / Mathematical models fast Portfolio management / Mathematical models fast Risk management / Mathematical models fast Stochastic processes fast Portfolio-analyse gtt Opties gtt Risicobeheersing gtt Wiskundige modellen gtt Mathematisches Modell Wirtschaft Portfolio management Mathematical models Options (Finance) Mathematical models Risk management Mathematical models Stochastic processes Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 s Portfolio Selection (DE-588)4046834-3 s Stochastisches Modell (DE-588)4057633-4 s 1\p DE-604 Portfoliomanagement (DE-588)4115601-8 s 2\p DE-604 Erscheint auch als Druck-Ausgabe 9789810232153 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=91447 Aggregator Volltext 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 |
| spellingShingle | Korn, Ralf Optimal portfolios stochastic models for optimal investment and risk management in continuous time Gestion de portefeuille / Modèles mathématiques Options (Finances) / Modèles mathématiques Gestion du risque / Modèles mathématiques Processus stochastiques BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Options (Finance) / Mathematical models fast Portfolio management / Mathematical models fast Risk management / Mathematical models fast Stochastic processes fast Portfolio-analyse gtt Opties gtt Risicobeheersing gtt Wiskundige modellen gtt Mathematisches Modell Wirtschaft Portfolio management Mathematical models Options (Finance) Mathematical models Risk management Mathematical models Stochastic processes Kapitalanlage (DE-588)4073213-7 gnd Stochastisches Modell (DE-588)4057633-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4073213-7 (DE-588)4057633-4 (DE-588)4115601-8 (DE-588)4046834-3 |
| title | Optimal portfolios stochastic models for optimal investment and risk management in continuous time |
| title_auth | Optimal portfolios stochastic models for optimal investment and risk management in continuous time |
| title_exact_search | Optimal portfolios stochastic models for optimal investment and risk management in continuous time |
| title_full | Optimal portfolios stochastic models for optimal investment and risk management in continuous time Ralf Korn |
| title_fullStr | Optimal portfolios stochastic models for optimal investment and risk management in continuous time Ralf Korn |
| title_full_unstemmed | Optimal portfolios stochastic models for optimal investment and risk management in continuous time Ralf Korn |
| title_short | Optimal portfolios |
| title_sort | optimal portfolios stochastic models for optimal investment and risk management in continuous time |
| title_sub | stochastic models for optimal investment and risk management in continuous time |
| topic | Gestion de portefeuille / Modèles mathématiques Options (Finances) / Modèles mathématiques Gestion du risque / Modèles mathématiques Processus stochastiques BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Options (Finance) / Mathematical models fast Portfolio management / Mathematical models fast Risk management / Mathematical models fast Stochastic processes fast Portfolio-analyse gtt Opties gtt Risicobeheersing gtt Wiskundige modellen gtt Mathematisches Modell Wirtschaft Portfolio management Mathematical models Options (Finance) Mathematical models Risk management Mathematical models Stochastic processes Kapitalanlage (DE-588)4073213-7 gnd Stochastisches Modell (DE-588)4057633-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Gestion de portefeuille / Modèles mathématiques Options (Finances) / Modèles mathématiques Gestion du risque / Modèles mathématiques Processus stochastiques BUSINESS & ECONOMICS / Investments & Securities / General Options (Finance) / Mathematical models Portfolio management / Mathematical models Risk management / Mathematical models Stochastic processes Portfolio-analyse Opties Risicobeheersing Wiskundige modellen Mathematisches Modell Wirtschaft Portfolio management Mathematical models Options (Finance) Mathematical models Risk management Mathematical models Kapitalanlage Stochastisches Modell Portfoliomanagement Portfolio Selection |
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| work_keys_str_mv | AT kornralf optimalportfoliosstochasticmodelsforoptimalinvestmentandriskmanagementincontinuoustime |