Optimal portfolios : stochastic models for optimal investment and risk management in continuous time /
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| Author / Creator: | Korn, Ralf. |
|---|---|
| Imprint: | Singapore ; River Edge, NJ : World Scientific, c1997. |
| Description: | xi, 338 p. : ill. ; 23 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/2957253 |
Table of Contents:
- Ch. 1. Introduction and Discrete-Time Models. 1.1. General and Historic Remarks: A Short Survey. 1.2. Mean-Variance Analysis in a One-Period Model: The Markowitz-Approach. 1.3. More on One-Period and Discrete-Time Approaches to Portfolio Selection. 1.4. Criticisms and Limitations of Discrete-Time Models
- Ch. 2. The Continuous-Time Market Model. 2.1. The Security Price Processes. 2.2. The Wealth Process and the Actions of a Small Investor. 2.3. Completeness of the Market Model and the Growth-Optimum Portfolio. 2.4. Option Pricing: A Short Introduction. 2.5. Convergence of Discrete Markets to Continuous Markets
- Ch. 3. The Continuous-Time Portfolio Problem. 3.1. Introduction and Formulation of the Problem. 3.2. Comparison between Stochastic Control and Martingale Method - A Preview via a Simple Discrete Example. 3.3. The Stochastic Control Method to Solve the Portfolio Problem. 3.4. The Martingale Approach to the Continuous-Time Portfolio Problem. 3.5. The Martingale Method Revisited ae Pliska's Version. 3.6. An Application: "Minimising the Difference to the Terminal Wealth of a Richer Investor?"
- Ch. 4. Constrained Continuous-Time Problems. 4.1. Portfolio Problems with Constraints. 4.2. A Dual Method to Solve Portfolio Problems with Constraints on the Terminal Wealth. 4.3. A Continuous-Time Mean-Variance Problem. 4.4. Portfolio Problems with Constrained Strategies. 4.5. Some Examples of Constrained Problems
- Ch. 5. Portfolio Optimisation in the Presence of Transaction Costs. 5.1. Optimal Life-Time Consumption with Proportional Transaction Cots. 5.2. Impulse Control Methods and Portfolio Optimisation with Strictly Positive Transaction Costs. 5.3. Maximising the Growth Rate Under Fixed Transaction Costs
- Ch. 6. Non-Utility Based Portfolio Selection Models. 6.1. Universal Portfolios: The Discrete-Time Model. 6.2. Asymptotically Optimal Portfolios and Universal Portfolios in Continuous Time. 6.3. Optimal Cash Management in Equity Index Tracking with Transaction Costs. 6.4. Value Preserving Portfolio Strategies. A. Normal Distribution, Conditional Expectation, Stochastic Processes
- B. Introduction to Stochastic Integrals and the Ito-Calculus
- C. Controlled Stochastic Differential Equations
- D. Laplace's Method of Integration
- E. Optimisation of Convex Functionals.