INTRODUCTION

William T. Ziemba and Raymond G. Vickson
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William T. Ziemba: University of British Columbia, Canada
Raymond G. Vickson: University of Waterloo, Canada

Chapter 25 in Stochastic Optimization Models in Finance, 2006, pp 429-457 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Two-Period Consumption Models and Portfolio RevisionModels of Optimal Capital Accumulation and Portfolio SelectionModels of Option StrategyCash Balance ManagementThe Capital Growth Criterion and Continuous-Time ModelsAppendix: An Intuitive Outline of Stochastic Differential Equations and Stochastic Optimal ControlItô ProcessesPoisson Differential EquationsStochastic Optimal Control

Keywords: Stochastics; Stochastic Optimization Models; Finance (search for similar items in EconPapers)
JEL-codes: C4 C5 C6 (search for similar items in EconPapers)
Date: 2006
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