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Więcej informacji o Portfolio optimizations in incomplete financial markets

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Opis

These Lecture Notes are based on a course given in June 2001 at the Cattedra Galileiana of Scuola Normale Superiore di Pisa. The course consisted of a short introduction into the basic concepts of Mathematical Finance, focusing on the notion of no arbitrage , and subsequently applying these concepts to portfolio optimization. To avoid technical difficulties I mainly dealt with the situation where the underlying probability space is finite and only sketched the difficulties arising in the general case. We then pass to the scheme of utility optimisation for general semi-martingale models. Some topics of this course are not standard: for example, in the treatment of the general existence theorem for the optimal portfolio, we give a direct proof which is not relying on duality theory. Similarly, the treatment of the asymptotic elasticity of utility functions and a related counter-example are original to these notes.

Szczegóły książki

Kategoria Książki po angielsku Mathematics & science Mathematics Applied mathematics

• Pełny tytuł: Portfolio optimizations in incomplete financial markets
• Autor: Walter Schachermayer
• Język: Angielski
• Oprawa: Miękka
• Liczba stron: 65
• EAN: 9788876421419
• ISBN: 8876421416
• ID: 01967706
• Wydawca: Springer, Berlin
• Wymiary: 240 × 170 mm
• Rok wydania: 2004

Ulubione w innej kategorii

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