Investment Portfolio Optimization

  • Srdjan StojanovicEmail author


Optimal portfolio theory, by its goal (how to invest in an optimal fashion), by its level of development, and recently also by its implications in other major areas of mathematical finance (pricing and hedging in incomplete markets), is certainly one of its most important areas of research. The essence of finance is investing, and the quantitative framework for optimal investing is optimal portfolio theory.


CARA Utility Optimal Portfolio Terminal Condition Stochastic Volatility Stochastic Interest Rate 
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Copyright information

© Springer Science+Business Media, LLC 2012

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of CincinnatiCincinnatiUSA

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