INTRODUCTION AND DISCRETE-TIME MODELS

Ralf Korn
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Ralf Korn: Johannes Gutenberg-Universität Mainz, Germany

Chapter 1 in Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time, 1997, pp 1-13 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:General and Historic Remarks : A Short SurveyMean-Variance Analysis in a One-Period Model: the Markowitz-ApproachMore on One-Period and Discrete-Time Approaches to Portfolio SelectionCriticisms and Limitations of Discrete-Time Models

Date: 1997
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