Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior 2024 pdf epub mobi 电子书


Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior

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发表于2024-11-26

Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior 2024 pdf epub mobi 电子书

Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior 2024 pdf epub mobi 电子书

Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior 2024 pdf epub mobi 电子书



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出版者:Edizioni della Normale
作者:Walter Schachermayer
出品人:
页数:70
译者:
出版时间:2007-05
价格:USD 29.95
装帧:Paperback
isbn号码:9788876421419
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Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior 2024 pdf epub mobi 电子书 图书描述

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 a oeno arbitragea, 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.

Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior 2024 pdf epub mobi 电子书

Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior 2024 pdf epub mobi 电子书
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Portfolio optimizations in incomplete financial markets (Publications of the Scuola Normale Superior 2024 pdf epub mobi 电子书


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