Call Us 080-41656200 (Mon-Sat: 10AM-8PM)
Free Shipping above Rs. 1499
Cash On Delivery*

Investor Problem

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
Delivery in :  10-12 Business Days

 

Check Your Delivery Options

 
Rs. 3,651

Availability: In stock

 
  • Product Description
 

Optimal portfolio selection problems have been investigated since the late 1960's. Most of them are concerned with investment in a savings account on a constant rate and a finite number of stocks. Then the explicit solution is given. Over the last few years, a problem of an investment in the bond market, with an interest rate changing in time but without possibility of consumption, has been considered. In this book, it is considered an investor problem with an interest rate given by a stochastic differential equation and with possibility of consumption as well as investing money both in savings account and in zero-coupon bonds. There are given formulae for both optimal portfolio and optimal consumption strategy. On the other hand, an investor problem in discrete time case with forward rate given by Markov chain is analyzed. Theoretical results are illustrated with interesting examples. The book should be useful to all interested in applications of stochastic control theory, or anyone else whose area of interest is financial mathematics.

Product Specifications
SKU :COC24654
AuthorDaniel Synowiec
LanguageEnglish
BindingPaperback
Number of Pages96
Publishing Year7/15/2012
ISBN978-3659182587
Edition1 st
Book TypeMathematics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-28 00:00:00
0 Review(s)