SpringerBriefs in Quantitative Finance

Optimal Investment

Authors: Rogers, L. C. G.

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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
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eBook 46,00 €
price for Spain (gross)
  • ISBN 978-3-642-35202-7
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 57,19 €
price for Spain (gross)
  • ISBN 978-3-642-35201-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

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.

Reviews

From the book reviews:

“This short book would be an excellent supplementary text for a course in quantitative finance or useful to researchers or practitioners looking for an overview of one of the foundations of modern quantitative finance.” (IEEE Control Systems Magazine, October, 2013)

“This book first focuses on the classical Merton problems and presents a range of techniques for solving optimal investment/consumption problems. … I really enjoyed reading this book. … it would be very helpful to students and researchers who are interested in financial engineering, corporate finance and asset pricing, and it would be worth keeping the book on their shelves.” (Zhaojun Yang, Mathematical Reviews, September, 2013)


Table of contents (4 chapters)

Table of contents (4 chapters)

Buy this book

eBook 46,00 €
price for Spain (gross)
  • ISBN 978-3-642-35202-7
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 57,19 €
price for Spain (gross)
  • ISBN 978-3-642-35201-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Optimal Investment
Authors
Series Title
SpringerBriefs in Quantitative Finance
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-35202-7
DOI
10.1007/978-3-642-35202-7
Softcover ISBN
978-3-642-35201-0
Series ISSN
2192-7006
Edition Number
1
Number of Pages
X, 156
Number of Illustrations
41 b/w illustrations, 3 illustrations in colour
Topics