Optimal Investment

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Optimal Investment by L. C. G. Rogers

• Presents the main methods for solving stochastic optimal control problems arising in finance
• Through a large number of worked problems, illustrates how to use a combination of analytic and numerical techniques to actually find a solution even when none is available in closed form
• Critiques the usefulness of theory in the light of stylized facts of asset return
  

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.

Content Level » Professional/practitioner

Keywords » 91G10, 91G70, 91G80, 49L20, 65K15 - Hamilton-jacobi-Bellman equation - Ito's formula - Optimal investment - asset returns - martingale

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关键词：Investment investmen optimal Optima Invest Investment

PDF文檔。很清晰