Optimal investment / L.C.G. Rogers.
| Author/creator | Rogers, L. C. G. |
| Format | Electronic |
| Publication Info | Berlin ; New York : Springer, |
| Description | x, 156 pages : illustrations (some color) ; 24 cm. |
| Supplemental Content | Full text available from Springer Books |
| Supplemental Content | Full text available from Springer Nature - Springer Mathematics and Statistics eBooks 2013 English International |
| Subjects |
| Series | SpringerBriefs in quantitative finance, 2192-7006 SpringerBriefs in quantitative finance. UNAUTHORIZED |
| 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 note | Includes bibliographical references (pages 151-152) and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2012953459 |
| ISBN | 3642352014 |
| ISBN | 9783642352010 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | ✔ Available |