Research Catalog
Optimal investment
- Title
- Optimal investment / L. C. G. Rogers.
- Author
- Rogers, L. C. G.
- Publication
- Berlin ; New York : Springer, 2013.
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| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
Available - Can be used on site. Please visit New York Public Library - Schwarzman Building to submit a request in person. | Text | Use in library | JBE 13-877 | Schwarzman Building - General Research Room 315 |
Details
- Description
- 156 p. : ill. (some col.); 24 cm.
- Series Statement
- SpringerBriefs in quantitative finance, 2192-7006
- Uniform Title
- SpringerBriefs in quantitative finance.
- Subject
- Bibliography (note)
- Includes bibliographical references (p. 151-152) and index.
- 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.
- Call Number
- JBE 13-877
- ISBN
- 3642352014
- 9783642352010
- 9783642352027 (electronic bk.) (canceled/invalid)
- OCLC
- 816512490
- Author
- Rogers, L. C. G.
- Title
- Optimal investment / L. C. G. Rogers.
- Imprint
- Berlin ; New York : Springer, 2013.
- Series
- SpringerBriefs in quantitative finance, 2192-7006SpringerBriefs in quantitative finance.
- Bibliography
- Includes bibliographical references (p. 151-152) and index.
- Research Call Number
- JBE 13-877