Content:
ECONOMIC THEORY AND MATHEMATICAL ECONOMICS, Page ii
Front Matter, Page iii
Copyright, Page iv
Dedication, Page v
PREFACE, Pages xiii-xv
ACKNOWLEDGMENTS, Page xvi
INTRODUCTION, Pages 3-9
A GENERAL THEORY OF SUBJECTIVE PROBABILITIES AND EXPECTED UTILITIES, Pages 11-21, PETER C. FISHBURN
PSEUDO-CONVEX FUNCTIONS, Pages 23-32, O.L. MANGASARIAN
CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS, Pages 33-41, O.L. MANGASARIAN
Introduction to Dynamic Programming, Pages 43-56, W.T. Ziemba
COMPUTATIONAL AND REVIEW EXERCISES, Pages 57-65
MIND-EXPANDING EXERCISES, Pages 67-78
INTRODUCTION, Pages 81-88
The Efficiency Analysis of Choices Involving Risk, Pages 89-100, G. Hanoch, H. Levy
A Unified Approach to Stochastic Dominance, Pages 101-113, S.L. Brumelle, R.G. Vickson
RISK AVERSION IN THE SMALL AND IN THE LARGE, Pages 115-130, JOHN W. PRATT
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS, Pages 131-155, John Lintner
Separation in Portfolio Analysis, Pages 157-170, R.G. Vickson
COMPUTATIONAL AND REVIEW EXERCISES, Pages 171-181
MIND EXPANDING EXERCISES, Pages 183-199
INTRODUCTION, Pages 203-214
The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments, Pages 215-220, PAUL A. SAMUELSON
The Asymptotic Validity of Quadratic Utility as the Trading Interval Approaches Zero, Pages 221-234, James A. Ohlson
SAFETY-FIRST AND EXPECTED UTILITY MAXIMIZATION IN MEAN-STANDARD DEVIATION PORTFOLIO ANALYSIS, Pages 235-241, David H. Pyle, Stephen J. Turnovsky
Choosing Investment Portfolios When the Returns Have Stable Distributions, Pages 243-266, W.T. Ziemba
On the Existence of Optimal Policies under Uncertainty, Pages 267-276, HAYNE E. LELAND
GENERAL PROOF THAT DIVERSIFICATION PAYS, Pages 277-289, Paul A. Samuelson
THE EFFECTS OF INCOME, WEALTH, AND CAPITAL GAINS TAXATION ON RISK-TAKING, Pages 291-311, J.E. STIGLITZ
Some Effects of Taxes on Risk-Tåking, Pages 313-330
COMPUTATIONAL AND REVIEW EXERCISES, Pages 331-341
MIND-EXPANDING EXERCISES, Pages 343-364
INTRODUCTION, Pages 367-371
INVESTMENT ANALYSIS UNDER UNCERTAINTY, Pages 373-387, ROBERT WILSON
Multiperiod Consumption-Investment Decisions, Pages 389-400, EUGENE F. FAMA
ON OPTIMAL MYOPIC PORTFOLIO POLICIES, WITH AND WITHOUT SERIAL CORRELATION OF YIELDS, Pages 401-411, NILS H. HAKANSSON
COMPUTATIONAL AND REVIEW EXERCISES, Pages 413-415
MIND-EXPANDING EXERCISES, Pages 417-425
INTRODUCTION, Pages 429-451
Appendix A - An Intuitive Outline of Stochastic Differential Equations and Stochastic Optimal Control, Pages 453-457, R.G. Vickson
Consumption Decisions under Uncertainty, Pages 459-486, JACQUES H. DRÈZE, FRANCO MODIGLIANI
A DYNAMIC MODEL FOR BOND PORTFOLIO MANAGEMENT, Pages 487-499, STEPHEN P. BRADLEY, DWIGHT B. CRANE
Multiperiod Consumption-Investment Decisions and Risk Preference, Pages 501-515, EDWIN H. NEAVE
LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING, Pages 517-524, Paul A. Samuelson
OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS, Pages 525-545, NILS H. HAKANSSON
THE VALUE OF THE CALL OPTION ON A BOND, Pages 547-552, GORDON PYE
EVALUATING A CALL OPTION AND OPTIMAL TIMING STRATEGY IN THE STOCK MARKET, Pages 553-562, HOWARD M. TAYLOR
BOND REFUNDING WITH STOCHASTIC INTEREST RATES, Pages 563-575, BASIL A. KALYMON
MINIMAX POLICIES FOR SELLING AN ASSET AND DOLLAR AVERAGING, Pages 577-591, GORDON PYE
INVESTMENT POLICIES FOR EXPANDING BUSINESSES OPTIMAL IN A LONG-RUN SENSE, Pages 593-598, Leo Breiman
Portfolio Choice and the Kelly Criterion, Pages 599-619, Edward O. Thorp
Optimum Consumption and Portfolio Rules in a Continuous-Time Model, Pages 621-661, ROBERT C. MERTON
COMPUTATIONAL AND REVIEW EXERCISES, Pages 663-675
MIND-EXPANDING EXERCISES, Pages 677-700
Bibliography, Pages 701-714
INDEX, Pages 715-719