Stochastic optimization models in finance /:
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review...
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hackensack, NJ :
World Scientific,
©2006.
|
| Ausgabe: | 2006 ed. |
| Schriftenreihe: | World Scientific handbook in financial economic series.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s) Chapter 1: Expected Utility Theory (373 KB) Contents: Mathematics. |
| Beschreibung: | 1 online resource (xxxv, 719 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 701-714) and index. |
| ISBN: | 9789812773654 9812773657 1281379271 9781281379276 9786611379278 6611379274 |
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| 505 | 8 | |a Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS; Introduction; 1. Stochastic Dominance; 2. Measures of Risk Aversion; 3. Separation Theorems; Computational and Review Exercises; Mind-Expanding Exercises; PART III. STATIC PORTFOLIO SELECTION MODELS | |
| 505 | 8 | |a Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions; 2. Existence and Diversification of Optimal Portfolio Policies; 3. Effects of Taxes on Risk Taking; Computational and Review Exercises; Mind-Expanding Exercises | |
| 505 | 8 | |a PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction; 1. Models That Have a Single Decision Point; 2. Risk Aversion over Time Implies Static Risk Aversion; 3. Myopic Portfolio Policies; Computational and Review Exercises; Mind-Expanding Exercises | |
| 505 | 8 | |a PART V. DYNAMIC MODELS Introduction; 1. Two-Period Consumption Models and Portfolio Revision; 2. Models of Optimal Capital Accumulation and Portfolio Selection; 3. Models of Option Strategy; 4. The Capital Growth Criterion and Continuous-Time Models | |
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| contents | Preface and Brief Notes to the 2006 Edition; Preface in 1975 Edition Acknowledgments; PART I. MATHEMATICAL TOOLS; Introduction; 1. Expected Utility Theory; 2. Convexity and the Kuhn Tucker Conditions; 3. Dynamic Programming; Computational and Review Exercises Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS; Introduction; 1. Stochastic Dominance; 2. Measures of Risk Aversion; 3. Separation Theorems; Computational and Review Exercises; Mind-Expanding Exercises; PART III. STATIC PORTFOLIO SELECTION MODELS Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions; 2. Existence and Diversification of Optimal Portfolio Policies; 3. Effects of Taxes on Risk Taking; Computational and Review Exercises; Mind-Expanding Exercises PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction; 1. Models That Have a Single Decision Point; 2. Risk Aversion over Time Implies Static Risk Aversion; 3. Myopic Portfolio Policies; Computational and Review Exercises; Mind-Expanding Exercises PART V. DYNAMIC MODELS Introduction; 1. Two-Period Consumption Models and Portfolio Revision; 2. Models of Optimal Capital Accumulation and Portfolio Selection; 3. Models of Option Strategy; 4. The Capital Growth Criterion and Continuous-Time Models |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2006 ed. |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn285162979 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:16:35Z |
| institution | BVB |
| isbn | 9789812773654 9812773657 1281379271 9781281379276 9786611379278 6611379274 |
| language | English |
| oclc_num | 285162979 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xxxv, 719 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2006 |
| publishDateSearch | 1975 2006 |
| publishDateSort | 2006 |
| publisher | World Scientific, |
| record_format | marc |
| series | World Scientific handbook in financial economic series. |
| series2 | World Scientific Handbook in Financial Economics Series ; |
| spelling | Stochastic optimization models in finance / editors, William T. Ziemba, Raymond G. Vickson. 2006 ed. Hackensack, NJ : World Scientific, ©2006. 1 online resource (xxxv, 719 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier World Scientific Handbook in Financial Economics Series ; v.1 Includes bibliographical references (pages 701-714) and index. Print version record. Preface and Brief Notes to the 2006 Edition; Preface in 1975 Edition Acknowledgments; PART I. MATHEMATICAL TOOLS; Introduction; 1. Expected Utility Theory; 2. Convexity and the Kuhn Tucker Conditions; 3. Dynamic Programming; Computational and Review Exercises Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS; Introduction; 1. Stochastic Dominance; 2. Measures of Risk Aversion; 3. Separation Theorems; Computational and Review Exercises; Mind-Expanding Exercises; PART III. STATIC PORTFOLIO SELECTION MODELS Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions; 2. Existence and Diversification of Optimal Portfolio Policies; 3. Effects of Taxes on Risk Taking; Computational and Review Exercises; Mind-Expanding Exercises PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction; 1. Models That Have a Single Decision Point; 2. Risk Aversion over Time Implies Static Risk Aversion; 3. Myopic Portfolio Policies; Computational and Review Exercises; Mind-Expanding Exercises PART V. DYNAMIC MODELS Introduction; 1. Two-Period Consumption Models and Portfolio Revision; 2. Models of Optimal Capital Accumulation and Portfolio Selection; 3. Models of Option Strategy; 4. The Capital Growth Criterion and Continuous-Time Models A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s) Chapter 1: Expected Utility Theory (373 KB) Contents: Mathematics. English. Finance. http://id.loc.gov/authorities/subjects/sh85048256 Mathematical optimization. http://id.loc.gov/authorities/subjects/sh85082127 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 Finances. Optimisation mathématique. Processus stochastiques. finance. aat BUSINESS & ECONOMICS Finance. bisacsh Finance fast Mathematical optimization fast Stochastic processes fast Ziemba, W. T. http://id.loc.gov/authorities/names/n79134958 Vickson, R. G. http://id.loc.gov/authorities/names/no94014768 Print version: Stochastic optimization models in finance. 2006 ed. Hackensack, NJ : World Scientific, ©2006 (DLC) 2006042611 World Scientific handbook in financial economic series. http://id.loc.gov/authorities/names/no2011082614 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=210801 Volltext |
| spellingShingle | Stochastic optimization models in finance / World Scientific handbook in financial economic series. Preface and Brief Notes to the 2006 Edition; Preface in 1975 Edition Acknowledgments; PART I. MATHEMATICAL TOOLS; Introduction; 1. Expected Utility Theory; 2. Convexity and the Kuhn Tucker Conditions; 3. Dynamic Programming; Computational and Review Exercises Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS; Introduction; 1. Stochastic Dominance; 2. Measures of Risk Aversion; 3. Separation Theorems; Computational and Review Exercises; Mind-Expanding Exercises; PART III. STATIC PORTFOLIO SELECTION MODELS Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions; 2. Existence and Diversification of Optimal Portfolio Policies; 3. Effects of Taxes on Risk Taking; Computational and Review Exercises; Mind-Expanding Exercises PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction; 1. Models That Have a Single Decision Point; 2. Risk Aversion over Time Implies Static Risk Aversion; 3. Myopic Portfolio Policies; Computational and Review Exercises; Mind-Expanding Exercises PART V. DYNAMIC MODELS Introduction; 1. Two-Period Consumption Models and Portfolio Revision; 2. Models of Optimal Capital Accumulation and Portfolio Selection; 3. Models of Option Strategy; 4. The Capital Growth Criterion and Continuous-Time Models Finance. http://id.loc.gov/authorities/subjects/sh85048256 Mathematical optimization. http://id.loc.gov/authorities/subjects/sh85082127 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 Finances. Optimisation mathématique. Processus stochastiques. finance. aat BUSINESS & ECONOMICS Finance. bisacsh Finance fast Mathematical optimization fast Stochastic processes fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048256 http://id.loc.gov/authorities/subjects/sh85082127 http://id.loc.gov/authorities/subjects/sh85128181 https://id.nlm.nih.gov/mesh/D013269 |
| 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 / editors, William T. Ziemba, Raymond G. Vickson. |
| title_fullStr | Stochastic optimization models in finance / editors, William T. Ziemba, Raymond G. Vickson. |
| title_full_unstemmed | Stochastic optimization models in finance / editors, William T. Ziemba, Raymond G. Vickson. |
| title_short | Stochastic optimization models in finance / |
| title_sort | stochastic optimization models in finance |
| topic | Finance. http://id.loc.gov/authorities/subjects/sh85048256 Mathematical optimization. http://id.loc.gov/authorities/subjects/sh85082127 Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 Finances. Optimisation mathématique. Processus stochastiques. finance. aat BUSINESS & ECONOMICS Finance. bisacsh Finance fast Mathematical optimization fast Stochastic processes fast |
| topic_facet | Finance. Mathematical optimization. Stochastic processes. Stochastic Processes Finances. Optimisation mathématique. Processus stochastiques. finance. BUSINESS & ECONOMICS Finance. Finance Mathematical optimization Stochastic processes |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=210801 |
| work_keys_str_mv | AT ziembawt stochasticoptimizationmodelsinfinance AT vicksonrg stochasticoptimizationmodelsinfinance |