| Description |
1 online resource (756 pages) |
| Series |
World Scientific Handbook in Financial Economics Series |
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World Scientific handbook in financial economic series.
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| Contents |
Preface and Brief Notes to the 2006 Edition ; Preface in 1975 Edition ; Acknowledgments ; PART I. MATHEMATICAL TOOLS; Introduction ; 1. Expected Utility Theory ; 2. Convexity and the Kuhn Tucker Conditions ; 3. Dynamic Programming ; Computational and Review Exercises |
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Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS ; Introduction ; 1. Stochastic Dominance ; 2. Measures of Risk Aversion ; 3. Separation Theorems ; Computational and Review Exercises ; Mind-Expanding Exercises ; PART III. STATIC PORTFOLIO SELECTION MODELS |
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Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions ; 2. Existence and Diversification of Optimal Portfolio Policies ; 3. Effects of Taxes on Risk Taking ; Computational and Review Exercises ; Mind-Expanding Exercises |
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PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction ; 1. Models That Have a Single Decision Point ; 2. Risk Aversion over Time Implies Static Risk Aversion ; 3. Myopic Portfolio Policies ; Computational and Review Exercises ; Mind-Expanding Exercises |
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PART V. DYNAMIC MODELS Introduction ; 1. Two-Period Consumption Models and Portfolio Revision ; 2. Models of Optimal Capital Accumulation and Portfolio Selection ; 3. Models of Option Strategy ; 4. The Capital Growth Criterion and Continuous-Time Models |
| Summary |
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s). Chapter 1: Expected Utility Theory (373 KB). Contents: Mathematical Tools: Expected Utility Theory; Conv |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Finance.
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Mathematical optimization.
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Stochastic processes.
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Stochastic Processes
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finance.
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Finance
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Mathematical optimization
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Stochastic processes
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| Form |
Electronic book
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| Author |
Vickson, Raymond G
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| ISBN |
9789812773654 |
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9812773657 |
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