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Stochastic Optimization Models in Finance (Economic theory and mathematical economics) by William T. Ziemba, R. G. Vickson is a nonfiction available to read on EtoBox.

What is Stochastic Optimization Models in Finance (Economic theory and mathematical economics) about?

Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.

Who reads Stochastic Optimization Models in Finance (Economic theory and mathematical economics)?

Author

William T. Ziemba, R. G. Vickson

Publisher

Elsevier Inc, Academic Press

Published

1975

Language

EN

ISBN

9781483273990

Category

nonfiction

Subjects

Finance, Business, Economics