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Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information

Author: Nikolai Dokuchaev
Publisher: Boston, MA : Springer US, 2002.
Series: International series in operations research & management science, 47.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information investigates optimal investment problems for stochastic financial market models. It is addressed to academics and students who are interested in the mathematics of finance, stochastic processes, and optimal control, and also to practitioners in risk management and quantitative analysis who are interested in new  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nikolai Dokuchaev
ISBN: 9781461509219 1461509211
OCLC Number: 852791236
Description: 1 online resource (xxvi, 201 pages).
Contents: List of Figures. List of Tables. Acknowledgments. Introduction. Part I: Background. 1. Stochastic Market Model. Part 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. Part 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. Part IV: Optimal Strategies Based on Historical Data for Markets with Nonobservable Parameters. 8. Strategies Based on Historical Prices and Volume: Existence Result. 9. Solution for Log and Power Utilities With Historical Prices and Volume. 10. Solution for General Utilities and Constraints Via Parabolic Equations. 11. Special Cases and Examples: Replicating with Gap and Goal Achieving. 12. Unknown Distribution: Maximin Criterion and Duality Approach. 13. On Replication of Claims. References. Index.
Series Title: International series in operations research & management science, 47.
Responsibility: by Nikolai Dokuchaev.
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Abstract:

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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