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Description of Optimal Portfolios |
Focuses on the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. Beginning with presenting the complete Black-Scholes type model, the book moves on to incomplete models and models including constraints and transaction costs. The methods and models presented 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, and so forth. Stress is laid on rigorous mathematical presentation and clear economics interpretation while technicalities are kept to a minimum.
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Reviews“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.”
Metrika, 1999
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Contents of Optimal Portfolios |
Preface
Some guidelines and general notations
1. Introduction and Discrete-Time Models
2. The Continuous-Time Model
3. The Continuous-Time Portfolio Problem
4. Constrained Continuous-Time Problems
5. Portfolio Optimisation in the Presence of Transaction Costs
6. Non-Utility Based Portfolio Selection Models
Appendices
References
Index
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