Stochastic optimization models in finance
Author(s)
Bibliographic Information
Stochastic optimization models in finance
World Scientific, c2006
2006 ed
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Note
Originally published: New York : Academic Press, 1975, in series: Economic theory and mathematical economics
Includes bibliographical references (p. 701-714) and index
Description and Table of Contents
Description
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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