Ebook: Optimal Investment
Author: L. C. G. Rogers (auth.)
- Tags: Quantitative Finance, Finance/Investment/Banking, Numerical Analysis, Calculus of Variations and Optimal Control, Optimization, Probability Theory and Stochastic Processes
- Series: SpringerBriefs in Quantitative Finance
- Year: 2013
- Publisher: Springer-Verlag Berlin Heidelberg
- Edition: 1
- Language: English
- pdf
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.
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.
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.
Content:
Front Matter....Pages i-x
The Merton Problem....Pages 1-28
Variations....Pages 29-113
Numerical Solution....Pages 115-135
How Well Does It Work?....Pages 137-150
Back Matter....Pages 151-156
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.
Content:
Front Matter....Pages i-x
The Merton Problem....Pages 1-28
Variations....Pages 29-113
Numerical Solution....Pages 115-135
How Well Does It Work?....Pages 137-150
Back Matter....Pages 151-156
....