دانلود کتاب Optimal portfolios: stochastic models for optimal investment and risk management in continuous time

Name: Optimal portfolios: stochastic models for optimal investment and risk management in continuous time
Availability: InStock
Author: Ralf Korn
ISBN: 9810232152, 9789810232153, 9789812385345

by Ralf Korn

عنوان فارسی: پرتفوی بهینه: مدل های تصادفی برای بهینه سرمایه گذاری و مدیریت ریسک در زمان پیوسته
ناشر: World Scientific
سال: 1997
زبان: انگلیسی
تعداد صفحه (نسخه چاپی - نسخه الکترونیکی): 352-352
شابک: 9810232152, 9789810232153, 9789812385345
نوع فایل: DJVU دانلود نرم افزار مطالعه
حجم: 2.00 مگابایت

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جزییات کتاب

Focuses on the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. Beginning with presenting the complete Black-Scholes type model, the book moves on to incomplete models and models including constraints and transaction costs. The methods and models presented 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, and so forth. Stress is laid on rigorous mathematical presentation and clear economics interpretation while technicalities are kept to a minimum.

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