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Author Rogers, L. C. G.
Title Optimal investment [electronic resource] / L. C. G. Rogers.
Publication Info. Berlin ; New York : Springer, c2013.
Location Call No. Status Notes
 Libraries Electronic Books  ELECTRONIC BOOKS-DDA    AVAIL. ONLINE
Description 1 online resource.
Series SpringerBriefs in quantitative finance.
Contents 1. The Merton Problem -- Introduction -- The Value Function Approach -- The Dual Value Function Approach -- The Static Programming Approach -- The Pontryagin-Lagrange Approach -- 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 -- 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 -- 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 -- 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 -- 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.
Bibliography Includes bibliographical references and index.
Reproduction Electronic reproduction. Perth, W.A. Available via World Wide Web.
Subject Investment analysis -- Mathematical models.
Merton Model.
Mathematics.
Finance.
Numerical analysis.
Mathematical optimization.
Quantitative Finance.
Finance/Investment/Banking.
Calculus of Variations and Optimal Control; Optimization.
Added Author Ebooks Corporation
ISBN 9783642352027 (electronic bk.)
3642352022 (electronic bk.)
9783642352010
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