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Portfolio Optimization


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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Rs. 5,066

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  • Product Description

In traditional portfolio optimization/consumption literature individuals are assumed to be utility maximizing agents who make their investment and consumption decisions either by a rational application of mathematical and statistical principles or as if they were doing so. However, in recent years much evidence has been accumulating that individuals make decisions for different reasons. One approach that provides a better description of behavioral decision making aspects is to allow for consumption history dependent utility functions, so called "habit formation". This allows the resolution of several consumption-investment paradoxes including the "Equity Premium Puzzle" and the "Easterling Paradox" and can result in quantitative predictions of consumer behavior. However, another feature of financial markets, their transaction costs, suggests that even standard Merton consumption-investment agents will alter their decisions in many of the same ways as habit forming agents. The current book contains a thorough analysis of these two effects and provides a framework to enable their separation. The analysis should be useful to professionals in the field of Behavioral Finance.

Product Specifications
SKU :COC22892
AuthorRoman Naryshkin
Number of Pages172
Publishing Year3/25/2010
Edition1 st
Book TypeStochastics
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