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Stochastic Optimization Models in Finance

✍ Scribed by William T. Ziemba, Raymond G. Vickson

Publisher
World Scientific
Year
2006
Tongue
English
Leaves
756
Edition
2006 ed
Category
Library
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✦ Synopsis

Книга Stochastic Optimization Models in Finance Stochastic Optimization Models in FinanceКниги Экономика Автор: William T. Ziemba, Raymond G. Vickson Год издания: 2006 Формат: pdf Издат.:World Scientific Publishing Company Страниц: 756 Размер: 28,8 ISBN: 981256800X Язык: Английский0 (голосов: 0) Оценка:Stochastic Optimization Models in Finance

✦ Table of Contents

CONTENTS......Page 8
Preface and Brief Notes to the 2006 Edition......Page 14
Preface in 1975 Edition......Page 32
Acknowledgments......Page 36
PART I. MATHEMATICAL TOOLS......Page 37
Introduction......Page 39
1. Expected Utility Theory......Page 47
2. Convexity and the Kuhn Tucker Conditions......Page 59
3. Dynamic Programming......Page 79
Computational and Review Exercises......Page 93
Mind-Expanding Exercises......Page 103
PART II. QUALITATIVE ECONOMIC RESULTS......Page 115
Introduction......Page 117
1. Stochastic Dominance......Page 125
2. Measures of Risk Aversion......Page 151
3. Separation Theorems......Page 167
Computational and Review Exercises......Page 207
Mind-Expanding Exercises......Page 219
PART III. STATIC PORTFOLIO SELECTION MODELS......Page 237
Introduction......Page 239
1. Mean-Variance and Safety First Approaches and Their Extensions......Page 251
2. Existence and Diversification of Optimal Portfolio Policies......Page 303
3. Effects of Taxes on Risk Taking......Page 327
Computational and Review Exercises......Page 367
Mind-Expanding Exercises......Page 379
PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS......Page 401
Introduction......Page 403
1. Models That Have a Single Decision Point......Page 409
2. Risk Aversion over Time Implies Static Risk Aversion......Page 425
3. Myopic Portfolio Policies......Page 437
Computational and Review Exercises......Page 449
Mind-Expanding Exercises......Page 453
PART V. DYNAMIC MODELS......Page 463
Introduction......Page 465
1. Two-Period Consumption Models and Portfolio Revision......Page 495
2. Models of Optimal Capital Accumulation and Portfolio Selection......Page 537
3. Models of Option Strategy......Page 583
4. The Capital Growth Criterion and Continuous-Time Models......Page 629
Computational and Review Exercises......Page 699
Mind-Expanding Exercises......Page 713
Bibliography......Page 737
Index......Page 751

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