Optimal Investment
| Autor: | L. C. G. Rogers |
|---|---|
| EAN: | 9783642352027 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 10.01.2013 |
| Untertitel: | SpringerBriefs in Quantitative Finance |
| Kategorie: | |
| Schlagworte: | 49L20 65K15 91G10 91G70 91G80 Hamilton-jacobi-Bellman equation Ito's formula Optimal investment asset returns martingale |
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Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics.
Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques
that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.
Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques
that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.
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