Stochastic optimization models in finance / edited by W.T. Ziemba, R.G. Vickson
(Economic theory and mathematical economics)
| Publisher | New York : Academic Press |
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| Year | [1975] |
| Authors | *Ziemba, W. T. compiler Vickson, R. G. compiler |
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| Links to the text | Location | Volume | Call No. | Barcode No. | Status | Comments | ISBN | Printed | Restriction | Reserve |
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| Links to the text | Library Off-campus access |
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OB00177789 | ScienceDirect (電子ブック) | 9780127808505 |
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| Material Type | E-Book |
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| Media type | 機械可読データファイル |
| Size | 1 online resource (xvi, 719 pages) : illustrations |
| Notes | Includes bibliographical references (pages 701-714) and index Print version record Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1. Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4. Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS Abstract1. Introduction; 2. Properties of pseudo-convex functions andapplications; 3. Remarks on pseudo-convexfunctions; 4. Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes CHAPTER6. MIND-EXPANDING EXERCISESExercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of ChoicesInvolvingRisk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance I. Introduction to Stochastic DominanceII. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I -- Portfolio Selection for an Individual Investor:The Separation Theorem; II -Portfolio Selection: TheOptimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Shortin Optimal Portfolios IV -- Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive MarketsUnder Idealized Uncertainty Stochastic Optimization Models in Finance English Elsevier ScienceDirect All Books HTTP:URL=https://www.sciencedirect.com/science/book/9780127808505 |
| Subjects | LCSH:Finance LCSH:Mathematical optimization LCSH:Stochastic processes LCSH:Finance -- Mathematical models All Subject Search MESH:Stochastic Processes CSHF:Finances -- Modèles mathématiques All Subject Search CSHF:Optimisation mathématique CSHF:Processus stochastiques CSHF:Finances FREE:finance FREE:BUSINESS & ECONOMICS -- Finance All Subject Search FREE:Finance FREE:Mathematical optimization FREE:Stochastic processes FREE:Entscheidungstheorie FREE:Investitionsentscheidung FREE:Portfolio Selection FREE:Stochastische Optimierung FREE:Unsicherheit FREE:Finanzierung FREE:Finanzmathematik FREE:Finances FREE:Optimisation mathématique LCSH:banken LCSH:banks LCSH:valuta LCSH:currencies LCSH:finance LCSH:public finance LCSH:stochastische processen LCSH:stochastic processes LCSH:Financial Economics LCSH:Electronic books FREE:Electronic books FREE:Aufsatzsammlung |
| Classification | LCC:HG174 DC:332/.01/84 DC20:332/.01/5118 |
| ID | 8000079894 |
| ISBN | 9780127808505 |
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