Coverart for item
The Resource Optimal investment, L.C.G. Rogers

Optimal investment, L.C.G. Rogers

Label
Optimal investment
Title
Optimal investment
Statement of responsibility
L.C.G. Rogers
Creator
Subject
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
Member of
Is part of
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
Instantiates
Publication
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
Publication
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

Library Locations

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      38.944491 -92.326012
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