Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time

Ralf Korn
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Ralf Korn: Johannes Gutenberg-Universität Mainz

Abstract: et al

Date: 1997
ISBN: 9789810232153
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Citations: View citations in EconPapers (26)

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https://www.worldscientific.com/worldscibooks/10.1142/3548 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 INTRODUCTION AND DISCRETE-TIME MODELS , pp 1-13: Ralf Korn
Ch 2 THE CONTINUOUS-TIME MARKET MODEL , pp 15-35: Ralf Korn
Ch 3 THE CONTINUOUS-TIME PORTFOLIO PROBLEM , pp 37-99: Ralf Korn
Ch 4 CONSTRAINED CONTINUOUS-TIME PROBLEMS , pp 101-150: Ralf Korn
Ch 5 PORTFOLIO OPTIMISATION IN THE PRESENCE OF TRANSACTION COSTS , pp 151-221: Ralf Korn
Ch 6 NON-UTILITY BASED PORTFOLIO SELECTION MODELS , pp 223-294: Ralf Korn

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