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Optimal Portfolios Book PDF Summary

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.

Detail Book of Optimal Portfolios PDF

Optimal Portfolios
  • Author : Ralf Korn
  • Release : 21 September 1997
  • Publisher : World Scientific
  • ISBN : 9789812385345
  • Genre : Business & Economics
  • Total Page : 352 pages
  • Language : English
  • PDF File Size : 12,6 Mb

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