Title: Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time
Publisher: Wspc
Publication Date: 1997
Language: English
ISBN 10: 9810232152
ISBN 13: 9789810232153
Binding: Paperback
Condition: New
Weight: 22 ounces

About this title

Synopsis

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).

Review

"recommended to those who want to obtain a quick overview about methods of portfolio theory." -- Metrika, 1999

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