Stochastic Optimization Models In Finance (2006 Edition)
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Stochastic Optimization Models In Finance (2006 Edition)

Stochastic Optimization Models In Finance (2006 Edition)

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About the Book

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.

Table of Contents:
Mathematical Tools: Expected Utility Theory; Convexity and the Kuhn-Tucker Conditions; Dynamic Programming; Qualitative Economic Results: Stochastic Dominance; Measures of Risk Aversion; Separation Theorems; Static Portfolio Selection Models: Mean-Variance and Safety First Approaches and Their Extensions; Existence and Diversification of Optimal Portfolio Policies: Effects of Taxes on Risk Taking; Dynamic Models Reducible to Static Models: Models That Have a Single Decision Point; Risk Aversion over Time Implies Static Risk Aversion; Myopic Portfolio Policies; Dynamic Models: Two-Period Consumption Models and Portfolio Revision; Models of Optimal Capital Accumulation and Portfolio Selection; Models of Option Strategy; The Capital Growth Criterion and Continuous-Time Models.


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Product Details
  • ISBN-13: 9789812568007
  • Publisher: World Scientific Publishing Co Pte Ltd
  • Publisher Imprint: World Scientific Publishing Co Pte Ltd
  • Language: English
  • ISBN-10: 981256800X
  • Publisher Date: 12 Sep 2006
  • Binding: Hardback
  • No of Pages: 756


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