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: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore ; River Edge, NJ :
World Scientific,
©1997.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| 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. |
| Beschreibung: | 1 online resource (xi, 338 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 331-336) and index. |
| ISBN: | 9812385347 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. |
| 260 | |a Singapore ; |a River Edge, NJ : |b World Scientific, |c ©1997. | ||
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| 505 | 0 | |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. | |
| 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. | ||
| 650 | 0 | |a Portfolio management |x Mathematical models. | |
| 650 | 0 | |a Options (Finance) |x Mathematical models. | |
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181 | |
| 650 | 2 | |a Stochastic Processes |0 https://id.nlm.nih.gov/mesh/D013269 | |
| 650 | 6 | |a Gestion de portefeuille |x Modèles mathématiques. | |
| 650 | 6 | |a Options (Finances) |x Modèles mathématiques. | |
| 650 | 6 | |a Gestion du risque |x Modèles mathématiques. | |
| 650 | 6 | |a Processus stochastiques. | |
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| 650 | 7 | |a Portfolio management |x Mathematical models |2 fast | |
| 650 | 7 | |a Risk management |x Mathematical models |2 fast | |
| 650 | 7 | |a Stochastic processes |2 fast | |
| 650 | 1 | 7 | |a Portfolio-analyse. |2 gtt |
| 650 | 1 | 7 | |a Opties. |2 gtt |
| 650 | 1 | 7 | |a Risicobeheersing. |2 gtt |
| 650 | 1 | 7 | |a Wiskundige modellen. |2 gtt |
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| author | Korn, Ralf |
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| 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. |
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| dewey-search | 332.6/01/5118 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocm53008556 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:15:28Z |
| institution | BVB |
| isbn | 9812385347 9789812385345 |
| language | English |
| oclc_num | 53008556 |
| open_access_boolean | |
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| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xi, 338 pages) : illustrations |
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| publisher | World Scientific, |
| record_format | marc |
| spelling | Korn, Ralf. Optimal portfolios : stochastic models for optimal investment and risk management in continuous time / Ralf Korn. Singapore ; River Edge, NJ : World Scientific, ©1997. 1 online resource (xi, 338 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references (pages 331-336) and index. Print version record. 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. Portfolio management Mathematical models. Options (Finance) Mathematical models. Risk management Mathematical models. Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 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 Print version: Korn, Ralf. Optimal portfolios. Singapore ; River Edge, NJ : World Scientific, ©1997 9810232152 (DLC) 97036352 (OCoLC)37493387 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=91447 Volltext |
| spellingShingle | Korn, Ralf Optimal portfolios : stochastic models for optimal investment and risk management in continuous time / 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. Portfolio management Mathematical models. Options (Finance) Mathematical models. Risk management Mathematical models. Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 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 |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85128181 https://id.nlm.nih.gov/mesh/D013269 |
| 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 | Portfolio management Mathematical models. Options (Finance) Mathematical models. Risk management Mathematical models. Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 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 |
| topic_facet | Portfolio management Mathematical models. Options (Finance) Mathematical models. Risk management Mathematical models. Stochastic processes. Stochastic Processes 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. |
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