Investment Portfolio Optimization

Srdjan Stojanovic ()
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Srdjan Stojanovic: University of Cincinnati, Department of Mathematics

Chapter Chapter 3 in Neutral and Indifference Portfolio Pricing, Hedging and Investing, 2012, pp 39-91 from Springer

Abstract: Abstract 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.

Keywords: CARA Utility; Optimal Portfolio; Terminal Condition; Stochastic Volatility; Stochastic Interest Rate (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-71418-9_3

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DOI: 10.1007/978-0-387-71418-9_3

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