Stochastic optimization models in finance /
Edited by W.T. Ziemba y R.G. Vickson.
- New York, N.Y. : Academic Press, 1975.
- 719 páginas : ilustraciones a blanco y negro ; 22 cm.
- Economic theory, econometrics, and mathematical economics .
Preface, xiii. -- Part 1. Mathematical Tools. Introduction, 3. -- Expected Utility Theory. A general theory of subjective probabilities and expected utilities / 2. Convexity and the Kuhn-Tucker Conditions. Pseudo-convex functions / Convexity, Pseudo-convexity and quasi-convexity of composite functions / 3. Dynamic Programming. Introduction to Dynamic programming / 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 / A unified approach to stochastic dominance / 2. Measures of Risk Aversion. Risk aversion in the small and in the large / 3. Separation Theorems. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets / Separation in portfolio analysis / 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 / The asymptotic validity of quadratic utility as the trading interval approaches zero / Safety-first and expected utility maximization in mean-standard deviation portfolio analysis / Choosing investment portfolios when the returns have stable distributions / 2. Existence and Diversification of Optimal Portfolio Policies. On the existence of optimal portfolio policies under uncertainty / General proof that diversification pays / 3.Effects of Taxes on Risk Taking. The effects of income, wealth, and capital gains taxation on risk-taking / Some effects of taxes on risk-taking / Computational and review exercises, 331. -- Mind-expanding exercises, 343. Peter C. Fishburn, 11. -- O.L. Mangasarian, 23. -- O.L. Mangasarian. -- W.T. Ziemba, 43. -- G. Hanoch and H. Levy, 89. -- S.L. Brumelle and R.G. Vickson, 101. -- John W. Pratt, 115. -- John Lintner, 131. -- R.G. Vickson, 157. -- Paul A. Samuelson, 215. -- James A. Ohlson, 221. -- David H. Pyle and Stephen J. Turnovsky, 235. -- W.T. Ziemba, 243. -- Hayne E. Leland, 267. -- Paul A. Samuelson, 277. -- J.E. Stiglitz, 291. -- B. Näslund, 313. -- Part IV. Dynamic Models Reducible to Static Models. Introduction, 367. -- 1. Models That Have a Single Decision Point, 373. -- Investment analysis under uncertainty / 2. Risk Aversion over Time Implies Static Risk Aversion. Multiperiod consumption-investment decisions / Myopic Portfolio Policies. On optimal myopic portfolio policies, with and without serial correlation of yields / 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 / 2.Models of Optimal Capital Accumulation and Portfolio Selection. Multiperiod consumption-investment decisions and risk preference / Lifetime portfolio selection by dynamic stochastic programming / Optimal investment and consumption strategies under risk for a class of utility functions / 3. Models of Option Strategy. The value of the call option on a bond / Evaluating a call option on optimal timing strategy in the stock market / Bond refunding with stochastic interest rates / Minimax policies for selling an asset and dollar averaging / 4. The Capital Growth Criterion and Continuous-Time Models. Investments policies for expanding businesses optimal in a long-run sense / Portfolio choice and the Kelly criterion / Optimum consumption and portfolio rules in a continuous-time model / Computational and review exercises, 663. -- Mind-expanding exercises, 677. -- Bibliography, 701. -- Index, 715. Robert Wilson, 373. -- Eugene F. Fama, 389. -- Nils H. Hakansson, 401. -- Jacques H. Dreze and Franco Modigliani, 459. -- Edwin H. Neave, 501. -- Paul A. Samuelson, 517. -- Nils H. Hakansson, 525. -- Gordon Pye, 547. -- Howard M. Taylor, 553. -- Basil A. Kalymon, 563. -- Gordon Pye, 577. -- Leo Breiman, 593. -- Edward O. Thorp, 599. -- Robert C. Merton, 621. --