Noch Fragen? 0800 / 33 82 637

Portfolio optimizations in incomplete financial markets

Produktform: Buch / Einband - flex.(Paperback)

These Lecture Notes are based on a course given in June 2001 at the Cattedra Galileiana of Scuola Normale Superiore di Pisa. The course consisted of a short introduction into the basic concepts of Mathematical Finance, focusing on the notion of “no arbitrage”, and subsequently applying these concepts to portfolio optimization. To avoid technical difficulties I mainly dealt with the situation where the underlying probability space is finite and only sketched the difficulties arising in the general case. We then pass to the scheme of utility optimisation for general semi-martingale models. Some topics of this course are not standard: for example, in the treatment of the general existence theorem for the optimal portfolio, we give a direct proof which is not relying on duality theory. Similarly, the treatment of the asymptotic elasticity of utility functions and a related counter-example are original to these notes.weiterlesen

Dieser Artikel gehört zu den folgenden Serien

Sprache(n): Englisch

ISBN: 978-88-7642-141-9 / 978-8876421419 / 9788876421419

Verlag: Edizioni della Normale

Erscheinungsdatum: 01.10.2004

Seiten: 65

Auflage: 1

Zielgruppe: Research

Autor(en): Walter Schachermayer

21,40 € inkl. MwSt.
kostenloser Versand

lieferbar - Lieferzeit 10-15 Werktage

zurück