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Optimal Investment (Springerbriefs in Quantitative Finance)

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Optimal Investment (Springerbriefs in Quantitative Finance) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Table of Contents

Preface.- The Merton Problem.- Variations.- Numerical Solution.- How Well Does It Work.- Index.- References.

Product Details

ISBN:
9783642352010
Author:
Rogers, L. Christopher G.
Publisher:
Springer
Author:
Rogers, L. C. G.
Subject:
Game Theory
Subject:
91G10, 91G70, 91G80, 49L20, 65K15
Subject:
Hamilton-jacobi-Bellman equation
Subject:
Ito s formula
Subject:
optimal investment
Subject:
asset returns
Subject:
martingale
Subject:
Quantitative Finance
Subject:
Finance/Investment/Banking
Subject:
Numerical analysis
Subject:
Calculus of Variations and Optimal Control; Optimization
Subject:
Mathematics-Calculus
Subject:
Probability Theory and Stochastic Processes
Subject:
Applied
Copyright:
Edition Description:
2013
Series:
SpringerBriefs in Quantitative Finance
Publication Date:
20130131
Binding:
TRADE PAPER
Language:
English
Pages:
166
Dimensions:
235 x 155 mm

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