The Resource Optimal investment, L.C.G. Rogers
Optimal investment, L.C.G. Rogers
Resource Information
The item Optimal investment, L.C.G. Rogers represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Optimal investment, L.C.G. Rogers represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
- Summary
- 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
- Language
- eng
- Extent
- 1 online resource.
- Contents
-
- When is the Merton Problem Well Posed?
- Linking Optimal Solutions to the State-Price Density
- Dynamic Stochastic General Equilibrium Models
- CRRA Utility and Efficiency
- 2.
- Variations
- The Finite-Horizon Merton Problem
- Interest-Rate Risk
- A Habit Formation Model
- Transaction Costs
- Optimisation under Drawdown Constraints
- Annual Tax Accounting
- History-Dependent Preferences
- Non-CRRA Utilities
- An Insurance Example with Choice of Premium Level
- Markov-Modulated Asset Dynamics
- Random Lifetime
- Random Growth Rate
- Utility from Wealth and Consumption
- Wealth Preservation Constraint
- 1.
- Constraint on Drawdown of Consumption
- Option to Stop Early
- Optimization under Expected Shortfall Constraint
- Recursive Utility
- Keeping up with the Jones's
- Performance Relative to a Benchmark
- Utility from Slice of the Cake
- Investment Penalized by Riskiness
- Lower Bound for Utility
- Production and Consumption
- The Merton Problem
- Preferences with Limited Look-Ahead
- Investing in an Asset with Stochastic Volatility
- Varying Growth Rate
- Beating a Benchmark
- Leverage Bound on the Portfolio
- Soft Wealth Drawdown
- Investment with Retirement
- Parameter Uncertainty
- Robust Optimization
- Labour Income
- Introduction
- 3.
- Numerical Solution
- Policy Improvement
- Optimal Stopping
- One-Dimensional Elliptic Problems
- Multi-Dimensional Elliptic Problems
- Parabolic Problems
- Boundary Conditions
- Iterative Solutions of PDEs
- Policy Improvement
- The Value Function Approach
- Value Recursion
- Newton's Method
- 4.
- How Well Does It Work?
- Stylized Facts About Asset Returns
- Estimation of l: The 20s Example
- Estimation of V
- The Dual Value Function Approach
- The Static Programming Approach
- The Pontryagin-Lagrange Approach
- Isbn
- 9781299197893
- Label
- Optimal investment
- Title
- Optimal investment
- Statement of responsibility
- L.C.G. Rogers
- Subject
-
- Calculus of Variations and Optimal Control; Optimization
- Calculus of Variations and Optimal Control; Optimization.
- Electronic books
- Electronic bookss
- Finance, general
- Finance.
- Finance/Investment/Banking.
- Hamilton-Jacobi-Differentialgleichung
- Investment analysis -- Mathematical models
- Investment analysis -- Mathematical models
- Investment analysis -- Mathematical models
- Investments
- Ito-Formel
- Mathematical optimization.
- Mathematics
- Mathematics.
- Merton Model
- Merton Model
- Merton Model
- Numerical Analysis
- Numerical analysis.
- Portfolio Selection
- Probability Theory and Stochastic Processes
- Quantitative Finance
- Quantitative Finance.
- Stochastische optimale Kontrolle
- BUSINESS & ECONOMICS -- Investments & Securities | General
- Language
- eng
- Summary
- 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
- Cataloging source
- GW5XE
- http://library.link/vocab/creatorName
- Rogers, L. C. G
- Dewey number
- 332.601/5118
- Index
- index present
- Language note
- English
- LC call number
- HG4529
- LC item number
- .R64 2013
- Literary form
- non fiction
- Nature of contents
-
- dictionaries
- bibliography
- NLM call number
- Online Book
- Series statement
- SpringerBriefs in quantitative finance,
- http://library.link/vocab/subjectName
-
- Investment analysis
- Merton Model
- Investments
- BUSINESS & ECONOMICS
- Investment analysis
- Merton Model
- Portfolio Selection
- Stochastische optimale Kontrolle
- Hamilton-Jacobi-Differentialgleichung
- Ito-Formel
- Mathematics
- Quantitative Finance
- Finance, general
- Numerical Analysis
- Calculus of Variations and Optimal Control; Optimization
- Probability Theory and Stochastic Processes
- Label
- Optimal investment, L.C.G. Rogers
- Antecedent source
- unknown
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- multicolored
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
-
- When is the Merton Problem Well Posed?
- Linking Optimal Solutions to the State-Price Density
- Dynamic Stochastic General Equilibrium Models
- CRRA Utility and Efficiency
- 2.
- Variations
- The Finite-Horizon Merton Problem
- Interest-Rate Risk
- A Habit Formation Model
- Transaction Costs
- Optimisation under Drawdown Constraints
- Annual Tax Accounting
- History-Dependent Preferences
- Non-CRRA Utilities
- An Insurance Example with Choice of Premium Level
- Markov-Modulated Asset Dynamics
- Random Lifetime
- Random Growth Rate
- Utility from Wealth and Consumption
- Wealth Preservation Constraint
- 1.
- Constraint on Drawdown of Consumption
- Option to Stop Early
- Optimization under Expected Shortfall Constraint
- Recursive Utility
- Keeping up with the Jones's
- Performance Relative to a Benchmark
- Utility from Slice of the Cake
- Investment Penalized by Riskiness
- Lower Bound for Utility
- Production and Consumption
- The Merton Problem
- Preferences with Limited Look-Ahead
- Investing in an Asset with Stochastic Volatility
- Varying Growth Rate
- Beating a Benchmark
- Leverage Bound on the Portfolio
- Soft Wealth Drawdown
- Investment with Retirement
- Parameter Uncertainty
- Robust Optimization
- Labour Income
- Introduction
- 3.
- Numerical Solution
- Policy Improvement
- Optimal Stopping
- One-Dimensional Elliptic Problems
- Multi-Dimensional Elliptic Problems
- Parabolic Problems
- Boundary Conditions
- Iterative Solutions of PDEs
- Policy Improvement
- The Value Function Approach
- Value Recursion
- Newton's Method
- 4.
- How Well Does It Work?
- Stylized Facts About Asset Returns
- Estimation of l: The 20s Example
- Estimation of V
- The Dual Value Function Approach
- The Static Programming Approach
- The Pontryagin-Lagrange Approach
- Control code
- 824936095
- Dimensions
- unknown
- Extent
- 1 online resource.
- File format
- unknown
- Form of item
- online
- Isbn
- 9781299197893
- Level of compression
- unknown
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other control number
- 10.1007/978-3-642-35202-7
- Quality assurance targets
- not applicable
- Reformatting quality
- unknown
- Sound
- unknown sound
- Specific material designation
- remote
- System control number
- (OCoLC)824936095
- Label
- Optimal investment, L.C.G. Rogers
- Antecedent source
- unknown
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- multicolored
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
-
- When is the Merton Problem Well Posed?
- Linking Optimal Solutions to the State-Price Density
- Dynamic Stochastic General Equilibrium Models
- CRRA Utility and Efficiency
- 2.
- Variations
- The Finite-Horizon Merton Problem
- Interest-Rate Risk
- A Habit Formation Model
- Transaction Costs
- Optimisation under Drawdown Constraints
- Annual Tax Accounting
- History-Dependent Preferences
- Non-CRRA Utilities
- An Insurance Example with Choice of Premium Level
- Markov-Modulated Asset Dynamics
- Random Lifetime
- Random Growth Rate
- Utility from Wealth and Consumption
- Wealth Preservation Constraint
- 1.
- Constraint on Drawdown of Consumption
- Option to Stop Early
- Optimization under Expected Shortfall Constraint
- Recursive Utility
- Keeping up with the Jones's
- Performance Relative to a Benchmark
- Utility from Slice of the Cake
- Investment Penalized by Riskiness
- Lower Bound for Utility
- Production and Consumption
- The Merton Problem
- Preferences with Limited Look-Ahead
- Investing in an Asset with Stochastic Volatility
- Varying Growth Rate
- Beating a Benchmark
- Leverage Bound on the Portfolio
- Soft Wealth Drawdown
- Investment with Retirement
- Parameter Uncertainty
- Robust Optimization
- Labour Income
- Introduction
- 3.
- Numerical Solution
- Policy Improvement
- Optimal Stopping
- One-Dimensional Elliptic Problems
- Multi-Dimensional Elliptic Problems
- Parabolic Problems
- Boundary Conditions
- Iterative Solutions of PDEs
- Policy Improvement
- The Value Function Approach
- Value Recursion
- Newton's Method
- 4.
- How Well Does It Work?
- Stylized Facts About Asset Returns
- Estimation of l: The 20s Example
- Estimation of V
- The Dual Value Function Approach
- The Static Programming Approach
- The Pontryagin-Lagrange Approach
- Control code
- 824936095
- Dimensions
- unknown
- Extent
- 1 online resource.
- File format
- unknown
- Form of item
- online
- Isbn
- 9781299197893
- Level of compression
- unknown
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other control number
- 10.1007/978-3-642-35202-7
- Quality assurance targets
- not applicable
- Reformatting quality
- unknown
- Sound
- unknown sound
- Specific material designation
- remote
- System control number
- (OCoLC)824936095
Subject
- Calculus of Variations and Optimal Control; Optimization
- Calculus of Variations and Optimal Control; Optimization.
- Electronic books
- Electronic bookss
- Finance, general
- Finance.
- Finance/Investment/Banking.
- Hamilton-Jacobi-Differentialgleichung
- Investment analysis -- Mathematical models
- Investment analysis -- Mathematical models
- Investment analysis -- Mathematical models
- Investments
- Ito-Formel
- Mathematical optimization.
- Mathematics
- Mathematics.
- Merton Model
- Merton Model
- Merton Model
- Numerical Analysis
- Numerical analysis.
- Portfolio Selection
- Probability Theory and Stochastic Processes
- Quantitative Finance
- Quantitative Finance.
- Stochastische optimale Kontrolle
- BUSINESS & ECONOMICS -- Investments & Securities | General
Genre
Member of
Library Links
Embed
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Optimal-investment-L.C.G.-Rogers/LYFSCh9ofj0/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Optimal-investment-L.C.G.-Rogers/LYFSCh9ofj0/">Optimal investment, L.C.G. Rogers</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data - Experimental
Data Citation of the Item Optimal investment, L.C.G. Rogers
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Optimal-investment-L.C.G.-Rogers/LYFSCh9ofj0/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Optimal-investment-L.C.G.-Rogers/LYFSCh9ofj0/">Optimal investment, L.C.G. Rogers</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>
