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Optimal investment

Author: L C G Rogers
Publisher: Berlin ; New York : Springer, ©2013.
Series: SpringerBriefs in quantitative finance.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: L C G Rogers
ISBN: 3642352014 9783642352010
OCLC Number: 816512490
Description: x, 156 pages : illustrations (some color) ; 24 cm.
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.
Series Title: SpringerBriefs in quantitative finance.
Responsibility: L.C.G. Rogers.
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