Stochastic Optimization Models in Finance
Edited by William T Ziemba and
Raymond G Vickson
in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Abstract:
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.
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
ISBN: 9789812568007
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Downloads: (external link)
https://www.worldscientific.com/worldscibooks/10.1142/6101 (text/html)
Ebook Access is available upon purchase
Chapters in this book:
- Ch 1 INTRODUCTION , pp 3-9
- William T. Ziemba and Raymond G. Vickson
- Ch 2 EXPECTED UTILITY THEORY , pp 11-21
- William T. Ziemba and Raymond G. Vickson
- Ch 3 CONVEXITY AND THE KUHN-TUCKER CONDITIONS , pp 23-41
- William T. Ziemba and Raymond G. Vickson
- Ch 4 DYNAMIC PROGRAMMING , pp 43-56
- William T. Ziemba and Raymond G. Vickson
- Ch 5 COMPUTATIONAL AND REVIEW EXERCISES , pp 57-65
- William T. Ziemba and Raymond G. Vickson
- Ch 6 MIND-EXPANDING EXERCISES , pp 67-78
- William T. Ziemba and Raymond G. Vickson
- Ch 7 INTRODUCTION , pp 81-88
- William T. Ziemba and Raymond G. Vickson
- Ch 8 STOCHASTIC DOMINANCE , pp 89-113
- William T. Ziemba and Raymond G. Vickson
- Ch 9 MEASURES OF RISK AVERSION , pp 115-130
- William T. Ziemba and Raymond G. Vickson
- Ch 10 SEPARATION THEOREMS , pp 131-170
- William T. Ziemba and Raymond G. Vickson
- Ch 11 COMPUTATIONAL AND REVIEW EXERCISES , pp 171-181
- William T. Ziemba and Raymond G. Vickson
- Ch 12 MIND EXPANDING EXERCISES , pp 183-199
- William T. Ziemba and Raymond G. Vickson
- Ch 13 INTRODUCTION , pp 203-214
- William T. Ziemba and Raymond G. Vickson
- Ch 14 MEAN-VARIANCE AND SAFETY-FIRST APPROACHES AND THEIR EXTENSIONS , pp 215-266
- William T. Ziemba and Raymond G. Vickson
- Ch 15 EXISTENCE AND DIVERSIFICATION OF OPTIMAL PORTFOLIO POLICIES , pp 267-289
- William T. Ziemba and Raymond G. Vickson
- Ch 16 EFFECTS OF TAXES ON RISK TAKING , pp 291-330
- William T. Ziemba and Raymond G. Vickson
- Ch 17 COMPUTATIONAL AND REVIEW EXERCISES , pp 331-341
- William T. Ziemba and Raymond G. Vickson
- Ch 18 MIND-EXPANDING EXERCISES , pp 343-364
- William T. Ziemba and Raymond G. Vickson
- Ch 19 INTRODUCTION , pp 367-371
- William T. Ziemba and Raymond G. Vickson
- Ch 20 MODELS THAT HAVE A SINGLE DECISION POINT , pp 373-387
- William T. Ziemba and Raymond G. Vickson
- Ch 21 RISK AVERSION OVER TIME IMPLIES STATIC RISK AVERSION , pp 389-400
- William T. Ziemba and Raymond G. Vickson
- Ch 22 MYOPIC PORTFOLIO POLICIES , pp 401-411
- William T. Ziemba and Raymond G. Vickson
- Ch 23 COMPUTATIONAL AND REVIEW EXERCISES , pp 413-415
- William T. Ziemba and Raymond G. Vickson
- Ch 24 MIND-EXPANDING EXERCISES , pp 417-425
- William T. Ziemba and Raymond G. Vickson
- Ch 25 INTRODUCTION , pp 429-457
- William T. Ziemba and Raymond G. Vickson
- Ch 26 TWO-PERIOD CONSUMPTION MODELS AND PORTFOLIO REVISION , pp 459-499
- William T. Ziemba and Raymond G. Vickson
- Ch 27 MODELS OF OPTIMAL CAPITAL ACCUMULATION AND PORTFOLIO SELECTION , pp 501-545
- William T. Ziemba and Raymond G. Vickson
- Ch 28 MODELS OF OPTION STRATEGY , pp 547-591
- William T. Ziemba and Raymond G. Vickson
- Ch 29 THE CAPITAL GROWTH CRITERION AND CONTINUOUS-TIME MODELS , pp 593-661
- William T. Ziemba and Raymond G. Vickson
- Ch 30 COMPUTATIONAL AND REVIEW EXERCISES , pp 663-675
- William T. Ziemba and Raymond G. Vickson
- Ch 31 MIND-EXPANDING EXERCISES , pp 677-700
- William T. Ziemba and Raymond G. Vickson
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