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Dynamic portfolio strategies : quantitative methods and empirical rules for incomplete information

Author: Nikolai Dokuchaev
Publisher: Boston : Kluwer Academic Publishers, ©2002.
Series: International series in operations research & management science, 47.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:

Investigates optimal investment problems for stochastic financial market models. This work is intended for academics and students who are interested in the mathematics of finance, stochastic  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Nikolai Dokuchaev
ISBN: 079237648X 9780792376484
OCLC Number: 48507821
Description: xxvi, 199 pages : illustrations ; 24 cm.
Contents: pt. I. Background. 1. Stochastic Market Model --
pt. II. Model-free empirical strategies and their evaluation. 2. Two Empirical Model-Free "Winning" Strategies and their Statistical Evaluation. 3. Strategies for Investment in Options. 4. Continuous-Time Analogs of "Winning" Strategies and Asymptotic Arbitrage --
pt. III. Optimal strategies for the diffusion market model with observable parameters. 5. Optimal Strategies with Direct Observation of Parameters. 6. Optimal Portfolio Compression. 7. Maximin Criterion for Observable but Nonpredictable Parameters --
pt. IV. Optimal strategies based on historical data for markets with nonobservable parameters. 8. Strategies Based on Historical Prices and Volume: Existence Result.
Series Title: International series in operations research & management science, 47.
Responsibility: Nikolai Dokuchaev.
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