OPTIMAL PORTFOLIOS
Stochastic Models for Optimal Investment and Risk Management in Continuous Time
by Ralf Korn (Johannes Gutenberg-Universit�t Mainz)
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox�Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.
Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).
Contents:
- Introduction and Discrete-Time Models
- The Continuous-Time
Market Model
- The Continuous-Time Portfolio Problem
- Constrained Continuous-Time Problems
- Portfolio Optimisation in the Presence of Transaction Costs
- Non-Utility Based Portfolio Selection Models
- Appendix
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Readership: Professionals in the financial industry, economists,
mathematicians, physicians and students in stochastic processes.
"This book provides not only a survey of the continuous-time porfolio selection theory, but also can be recommended to those who want to obtain a quick overview about methods of portfolio theory. Because of its friendly and inviting style, parts of this book are also suitable as a first introduction to this theory for those not familiar with stochastic analysis."
