| #4650724 in Books | Wspc | 1997-11-29 | Original language:English | PDF # 1 | 9.75 x.79 x6.50l,1.40 | File type: PDF | 350 pages | |||"recommended to those who want to obtain a quick overview about methods of portfolio theory." -- Metrika, 1999
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 Co...
You can specify the type of files you want, for your gadget.Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time | Ralf Korn. I have read it a couple of times and even shared with my family members. Really good. Couldnt put it down.
