Optimal portfolios: stochastic models for optimal investment and risk management in continuous time
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 cos...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; New Jersey ; London ; Hong Kong
World Scientific
[1997]
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| Schlagworte: | |
| Online-Zugang: | FHN01 TUM02 TUM01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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. Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed) |
| Beschreibung: | xi, 338 Seiten Illustrationen |
| ISBN: | 9789812385345 |
Internformat
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| 245 | 1 | 0 | |a Optimal portfolios |b stochastic models for optimal investment and risk management in continuous time |c Ralf Korn, Johannes Gutenberg-Universität Mainz |
| 264 | 1 | |a Singapore ; New Jersey ; London ; Hong Kong |b World Scientific |c [1997] | |
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| 520 | |a 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. Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed) | ||
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Datensatz im Suchindex
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| author | Korn, Ralf 1963- |
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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 |
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| id | DE-604.BV044633880 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:57:43Z |
| institution | BVB |
| isbn | 9789812385345 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030031852 |
| oclc_num | 1012717844 |
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| physical | xi, 338 Seiten Illustrationen |
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| publishDate | 1997 |
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| publisher | World Scientific |
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| spelling | Korn, Ralf 1963- Verfasser (DE-588)171321642 aut Optimal portfolios stochastic models for optimal investment and risk management in continuous time Ralf Korn, Johannes Gutenberg-Universität Mainz Singapore ; New Jersey ; London ; Hong Kong World Scientific [1997] xi, 338 Seiten Illustrationen txt rdacontent c rdamedia cr rdacarrier 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. Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed) Portfolio management / Mathematical models Options (Finance) / Mathematical models Risk management / Mathematical models Stochastic processes Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 s Portfoliomanagement (DE-588)4115601-8 s DE-604 Portfolio Selection (DE-588)4046834-3 s Stochastisches Modell (DE-588)4057633-4 s 1\p DE-604 Erscheint auch als Druck-Ausgabe 9789810232153 Erscheint auch als Druck-Ausgabe 9810232152 http://www.worldscientific.com/worldscibooks/10.1142/3548#t=toc Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Korn, Ralf 1963- Optimal portfolios stochastic models for optimal investment and risk management in continuous time Portfolio management / Mathematical models Options (Finance) / Mathematical models Risk management / Mathematical models Stochastic processes Stochastisches Modell (DE-588)4057633-4 gnd Kapitalanlage (DE-588)4073213-7 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4073213-7 (DE-588)4046834-3 (DE-588)4115601-8 |
| 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, Johannes Gutenberg-Universität Mainz |
| title_fullStr | Optimal portfolios stochastic models for optimal investment and risk management in continuous time Ralf Korn, Johannes Gutenberg-Universität Mainz |
| title_full_unstemmed | Optimal portfolios stochastic models for optimal investment and risk management in continuous time Ralf Korn, Johannes Gutenberg-Universität Mainz |
| 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 | Portfolio management / Mathematical models Options (Finance) / Mathematical models Risk management / Mathematical models Stochastic processes Stochastisches Modell (DE-588)4057633-4 gnd Kapitalanlage (DE-588)4073213-7 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Portfolio management / Mathematical models Options (Finance) / Mathematical models Risk management / Mathematical models Stochastic processes Stochastisches Modell Kapitalanlage Portfolio Selection Portfoliomanagement |
| url | http://www.worldscientific.com/worldscibooks/10.1142/3548#t=toc |
| work_keys_str_mv | AT kornralf optimalportfoliosstochasticmodelsforoptimalinvestmentandriskmanagementincontinuoustime |