Stochastic Optimization Models in Finance is popular PDF and ePub book, written by W. T. Ziemba in 2014-05-12, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Stochastic Optimization Models in Finance can be Read Online from any device for your convenience.
Stochastic Optimization Models in Finance Book PDF Summary
Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.
Detail Book of Stochastic Optimization Models in Finance PDF
- Author : W. T. Ziemba
- Release : 12 May 2014
- Publisher : Academic Press
- ISBN : 9781483273990
- Genre : Business & Economics
- Total Page : 736 pages
- Language : English
- PDF File Size : 7,5 Mb
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