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

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Bibliographic Details
Author / Creator:	Korn, Ralf.
Imprint:	Singapore ; River Edge, NJ : World Scientific, ©1997.
Description:	1 online resource (xi, 338 pages) : illustrations
Language:	English
Subject:	Portfolio management -- Mathematical models. Options (Finance) -- Mathematical models. Risk management -- Mathematical models. Stochastic processes. Options (Finance) -- Mathematical models. Portfolio management -- Mathematical models. Risk management -- Mathematical models. Stochastic processes. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11126861

Hidden Bibliographic Details
ISBN:	9812385347 9789812385345 9810232152 9789810232153
Notes:	Includes bibliographical references (pages 331-336) and index. Print version record.
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.
Other form:	Print version: Korn, Ralf. Optimal portfolios. Singapore ; River Edge, NJ : World Scientific, ©1997 9810232152

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