Optimal Investment

  • L. C. G.┬áRogers

Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Table of contents

  1. Front Matter
    Pages i-x
  2. L. C. G. Rogers
    Pages 1-28
  3. L. C. G. Rogers
    Pages 29-113
  4. L. C. G. Rogers
    Pages 115-135
  5. L. C. G. Rogers
    Pages 137-150
  6. Back Matter
    Pages 151-156

About this book

Introduction


Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics.
Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques
that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.

Keywords

91G10, 91G70, 91G80, 49L20, 65K15 Hamilton-jacobi-Bellman equation Ito's formula Optimal investment asset returns martingale

Authors and affiliations

  • L. C. G.┬áRogers
    • 1
  1. 1.Dept. Pure Mathematics &University of Cambridge Centre for Mathematical SciencesCambridgeUnited Kingdom

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-35202-7
  • Copyright Information Springer-Verlag Berlin Heidelberg 2013
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-35201-0
  • Online ISBN 978-3-642-35202-7
  • Series Print ISSN 2192-7006
  • Series Online ISSN 2192-7014
  • About this book
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