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Presents the main methods for solving stochastic optimal control problems arising in finance
Through a large number of worked problems, illustrates how to use a combination of analytic and numerical techniques to actually find a solution even when none is available in closed form
Critiques the usefulness of theory in the light of stylized facts of asset return
Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.