Stochastic optimization models in finance / Edited by W.T. Ziemba y R.G. Vickson.

Preface, xiii. -- Part 1. Mathematical Tools. Introduction, 3. -- Expected Utility Theory. A general theory of subjective probabilities and expected utilities / Peter C. Fishburn, 11. -- 2. Convexity and the Kuhn-Tucker Conditions. Pseudo-convex functions / O.L. Mangasarian, 23. -- Convexity, Pseudo-convexity and quasi-convexity of composite functions / O.L. Mangasarian. -- 3. Dynamic Programming. Introduction to Dynamic programming / W.T. Ziemba, 43. -- Computational and review exercises, 57. -- Mind-expanding exercises, 67. -- Part II. Qualitative Economic Results. Introduction, 81. -- 1. Stochastic Dominance. The efficiency analysis of choices involving risk / G. Hanoch and H. Levy, 89. -- A unified approach to stochastic dominance / S.L. Brumelle and R.G. Vickson, 101. -- 2. Measures of Risk Aversion. Risk aversion in the small and in the large / John W. Pratt, 115. -- 3. Separation Theorems. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets / John Lintner, 131. -- Separation in portfolio analysis / R.G. Vickson, 157. -- Computational and review exercises. 171. -- Mind-expanding exercises, 183. -- Part III. Static Portfolio Selection Models. Introduction, 203. -- 1. Mean-Variance and Safety First Approaches and Their Extensions. The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments / Paul A. Samuelson, 215. -- The asymptotic validity of quadratic utility as the trading interval approaches zero / James A. Ohlson, 221. -- Safety-first and expected utility maximization in mean-standard deviation portfolio analysis / David H. Pyle and Stephen J. Turnovsky, 235. -- Choosing investment portfolios when the returns have stable distributions / W.T. Ziemba, 243. -- 2. Existence and Diversification of Optimal Portfolio Policies. On the existence of optimal portfolio policies under uncertainty / Hayne E. Leland, 267. -- General proof that diversification pays / Paul A. Samuelson, 277. -- 3.Effects of Taxes on Risk Taking. The effects of income, wealth, and capital gains taxation on risk-taking / J.E. Stiglitz, 291. -- Some effects of taxes on risk-taking / B. Näslund, 313. -- Computational and review exercises, 331. -- Mind-expanding exercises, 343.

Part IV. Dynamic Models Reducible to Static Models. Introduction, 367. -- 1. Models That Have a Single Decision Point, 373. -- Investment analysis under uncertainty / Robert Wilson, 373. -- 2. Risk Aversion over Time Implies Static Risk Aversion. Multiperiod consumption-investment decisions / Eugene F. Fama, 389. -- Myopic Portfolio Policies. On optimal myopic portfolio policies, with and without serial correlation of yields / Nils H. Hakansson, 401. -- Computational and review exercises, 417. -- Mind-Expanding exercises. -- Part V. Dynamic Models. Introduction, 429. -- 1.Two-Period Consumption Models and Portfolio Revision. Consumption decisions under uncertainty / Jacques H. Dreze and Franco Modigliani, 459. -- 2.Models of Optimal Capital Accumulation and Portfolio Selection. Multiperiod consumption-investment decisions and risk preference / Edwin H. Neave, 501. -- Lifetime portfolio selection by dynamic stochastic programming / Paul A. Samuelson, 517. -- Optimal investment and consumption strategies under risk for a class of utility functions / Nils H. Hakansson, 525. -- 3. Models of Option Strategy. The value of the call option on a bond / Gordon Pye, 547. -- Evaluating a call option on optimal timing strategy in the stock market / Howard M. Taylor, 553. -- Bond refunding with stochastic interest rates / Basil A. Kalymon, 563. -- Minimax policies for selling an asset and dollar averaging / Gordon Pye, 577. -- 4. The Capital Growth Criterion and Continuous-Time Models. Investments policies for expanding businesses optimal in a long-run sense / Leo Breiman, 593. -- Portfolio choice and the Kelly criterion / Edward O. Thorp, 599. -- Optimum consumption and portfolio rules in a continuous-time model / Robert C. Merton, 621. -- Computational and review exercises, 663. -- Mind-expanding exercises, 677. -- Bibliography, 701. -- Index, 715.