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Optimal investment

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Leonard C. G. Rogers

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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.

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Optimal investment, Leonard C. G. Rogers

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Année de publication: 2013

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Titre: Optimal investment
Langue: Anglais
Auteurs: Leonard C. G. Rogers
Éditeur: Springer
Publié: 2013
ISBN10: 3642352014
ISBN13: 9783642352010
Séries: Springer briefs in quantitative finance
Mots clés: Affaires et économie
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.