Optimal Investment
Published on 9. January 2013
Book
Paperback/Softback
168 pages
978-3-642-35201-0 (ISBN)
Description
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.
Reviews / Votes
From the book reviews:"This short book would be an excellent supplementary text for a course in quantitative finance or useful to researchers or practitioners looking for an overview of one of the foundations of modern quantitative finance." (IEEE Control Systems Magazine, October, 2013)
"This book first focuses on the classical Merton problems and presents a range of techniques for solving optimal investment/consumption problems. ... I really enjoyed reading this book. ... it would be very helpful to students and researchers who are interested in financial engineering, corporate finance and asset pricing, and it would be worth keeping the book on their shelves." (Zhaojun Yang, Mathematical Reviews, September, 2013)
More details
Product info
Paperback
Series
Edition
2013
Language
English
Place of publication
Heidelberg
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Professional/practitioner
Illustrations
41 s/w Abbildungen, 3 farbige Abbildungen
3 Illustrations, color; 41 Illustrations, black and white; X, 156 p. 44 illus., 3 illus. in color.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 10 mm
Weight
265 gr
ISBN-13
978-3-642-35201-0 (9783642352010)
DOI
10.1007/978-3-642-35202-7
Schweitzer Classification
Other editions
Additional editions
E-Book
01/2013
1st Edition
Springer
€74.89
Available for download
Content
Preface.- The Merton Problem.- Variations.- Numerical Solution.- How Well Does It Work.- Index.- References.