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Author: Suresh P. Sethi
Publisher: Springer Science & Business Media
ISBN: 1461562570
Category : Business & Economics
Languages : en
Pages : 434
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Book Description
This book presents papers on continuous-time consumption investment models by Suresh Sethi and various co-authors. Sir Isaac Newton said that he saw so far because he stood on the shoulders of gi ants. Giants upon whose shoulders Professor Sethi and colleagues stand are Robert Merton, particularly Merton's (1969, 1971, 1973) seminal papers, and Paul Samuelson, particularly Samuelson (1969). Karatzas, Lehoczky, Sethi and Shreve (1986), henceforth KLSS, re produced here as Chapter 2, reexamine the model proposed by Mer ton. KLSS use methods of modern mathematical analysis, taking care to prove the existence of integrals, check the existence and (where appro priate) the uniqueness of solutions to equations, etc. KLSS find that un der some conditions Merton's solution is correct; under others, it is not. In particular, Merton's solution for aHARA utility-of-consumption is correct for some parameter values and not for others. The problem with Merton's solution is that it sometimes violates the constraints against negative wealth and negative consumption stated in Merton (1969) and presumably applicable in Merton (1971 and 1973). This not only affects the solution at the zero-wealth, zero-consumption boundaries, but else where as well. Problems with Merton's solution are analyzed in Sethi and Taksar (1992), reproduced here as Chapter 3.
Author: Suresh P. Sethi
Publisher: Springer Science & Business Media
ISBN: 1461562570
Category : Business & Economics
Languages : en
Pages : 434
Get Book Here
Book Description
This book presents papers on continuous-time consumption investment models by Suresh Sethi and various co-authors. Sir Isaac Newton said that he saw so far because he stood on the shoulders of gi ants. Giants upon whose shoulders Professor Sethi and colleagues stand are Robert Merton, particularly Merton's (1969, 1971, 1973) seminal papers, and Paul Samuelson, particularly Samuelson (1969). Karatzas, Lehoczky, Sethi and Shreve (1986), henceforth KLSS, re produced here as Chapter 2, reexamine the model proposed by Mer ton. KLSS use methods of modern mathematical analysis, taking care to prove the existence of integrals, check the existence and (where appro priate) the uniqueness of solutions to equations, etc. KLSS find that un der some conditions Merton's solution is correct; under others, it is not. In particular, Merton's solution for aHARA utility-of-consumption is correct for some parameter values and not for others. The problem with Merton's solution is that it sometimes violates the constraints against negative wealth and negative consumption stated in Merton (1969) and presumably applicable in Merton (1971 and 1973). This not only affects the solution at the zero-wealth, zero-consumption boundaries, but else where as well. Problems with Merton's solution are analyzed in Sethi and Taksar (1992), reproduced here as Chapter 3.
Author: Suresh Sethi
Publisher:
ISBN:
Category :
Languages : en
Pages : 444
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Book Description
The problem of optimal consumption and investment is concerned with the decisions of a single agent endowed with some initial wealth who seeks to maximize total expected discounted utility of consumption. The decisions are the rate of consumption and the allocation of their wealth directed to risky and risk-free investments over time. The problem was first studied by Paul Samuelson and Robert Merton in 1969; however none of their formulations took into account the possibility that an agent might go bankrupt in the process. In a set of articles published in 1979 and 1983, Suresh Sethi and co-authors (Abel Cadenillas, Myron Gordon, Brian Ingham, Ioannis Karatzas, John Lehoczky, Ernst Presman, Steven Shreve, and Michael Taksar) explicitly introduced a bankruptcy value/penalty in the consumption/investment model. In addition, they also introduced a nonzero subsistence consumption level, which makes the consideration of bankruptcy even more important. This provided the ability to deal mathematically with the problems of bankruptcy in the study of consumption and investment. Optimal Consumption and Investment with Bankruptcy provides a useful frame for deepening our understanding of the consumption and portfolio selection behavior of individuals and households. Foreword by Harry M. Markowitz. Not included are Chapters 2, 3 and 13, which are available directly from the websites of the specified journals in which they first appeared.
Author: Houmin Yan
Publisher: Springer Science & Business Media
ISBN: 0387338152
Category : Technology & Engineering
Languages : en
Pages : 397
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Book Description
This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.
Author: William T. Ziemba
Publisher: Cambridge University Press
ISBN: 9780521571876
Category : Business & Economics
Languages : en
Pages : 688
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Book Description
The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
Author: Zhenting Hou
Publisher: Springer Science & Business Media
ISBN: 146130265X
Category : Mathematics
Languages : en
Pages : 501
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Book Description
The general theory of stochastic processes and the more specialized theory of Markov processes evolved enormously in the second half of the last century. In parallel, the theory of controlled Markov chains (or Markov decision processes) was being pioneered by control engineers and operations researchers. Researchers in Markov processes and controlled Markov chains have been, for a long time, aware of the synergies between these two subject areas. However, this may be the first volume dedicated to highlighting these synergies and, almost certainly, it is the first volume that emphasizes the contributions of the vibrant and growing Chinese school of probability. The chapters that appear in this book reflect both the maturity and the vitality of modern day Markov processes and controlled Markov chains. They also will provide an opportunity to trace the connections that have emerged between the work done by members of the Chinese school of probability and the work done by the European, US, Central and South American and Asian scholars.
Author: Ioannis Karatzas
Publisher: Springer
ISBN: 1493968459
Category : Mathematics
Languages : en
Pages : 426
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Book Description
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Author: Dingzhu Du
Publisher: Springer Science & Business Media
ISBN: 3540677879
Category : Computers
Languages : en
Pages : 490
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Book Description
This book constitutes the refereed proceedings of the 6th Annual International Conference on Computing and Combinatorics, COCOON 2000, held in Sydney, Australia in July 2000. The 44 revised full papers presented together with two invited contributions were carefully reviewed and selected from a total of 81 submissions. The book offers topical sections on computational geometry; graph drawing; graph theory and algorithms; complexity, discrete mathematics, and number theory; online algorithms; parallel and distributed computing; combinatorial optimization; data structures and computational biology; learning and cryptography; and automata and quantum computing.
Author: Suresh P. Sethi
Publisher: Springer Nature
ISBN: 3030917452
Category : Business & Economics
Languages : en
Pages : 520
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Book Description
This new 4th edition offers an introduction to optimal control theory and its diverse applications in management science and economics. It introduces students to the concept of the maximum principle in continuous (as well as discrete) time by combining dynamic programming and Kuhn-Tucker theory. While some mathematical background is needed, the emphasis of the book is not on mathematical rigor, but on modeling realistic situations encountered in business and economics. It applies optimal control theory to the functional areas of management including finance, production and marketing, as well as the economics of growth and of natural resources. In addition, it features material on stochastic Nash and Stackelberg differential games and an adverse selection model in the principal-agent framework. Exercises are included in each chapter, while the answers to selected exercises help deepen readers’ understanding of the material covered. Also included are appendices of supplementary material on the solution of differential equations, the calculus of variations and its ties to the maximum principle, and special topics including the Kalman filter, certainty equivalence, singular control, a global saddle point theorem, Sethi-Skiba points, and distributed parameter systems. Optimal control methods are used to determine optimal ways to control a dynamic system. The theoretical work in this field serves as the foundation for the book, in which the author applies it to business management problems developed from his own research and classroom instruction. The new edition has been refined and updated, making it a valuable resource for graduate courses on applied optimal control theory, but also for financial and industrial engineers, economists, and operational researchers interested in applying dynamic optimization in their fields.
Author: Myron J. Gordon
Publisher: Aldershot, England : E. Elgar
ISBN:
Category : Business & Economics
Languages : en
Pages : 236
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Book Description
Contiene: Macroeconomic motivation, neoclassical theory of finance and investment, a post keynesian theory of finance and investment; Neoclassical theory: neoclassical theory on capital structure, neoclassical theory on dividend policy, alternative models and their cost of equity capital; A post keynesian theory: Investment policy and long-run survival for a portfolio, pursuit of security and the stability of a keynesian, a macro model with a micro poundation; A theory of economic systems: growth, security and the transformation of economic.
Author: Ulrich Derigs
Publisher: EOLSS Publications
ISBN: 1905839510
Category :
Languages : en
Pages : 460
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Book Description
Optimization and Operations Research is a component of Encyclopedia of Mathematical Sciences in the global Encyclopedia of Life Support Systems (EOLSS), which is an integrated compendium of twenty one Encyclopedias. The Theme on Optimization and Operations Research is organized into six different topics which represent the main scientific areas of the theme: 1. Fundamentals of Operations Research; 2. Advanced Deterministic Operations Research; 3. Optimization in Infinite Dimensions; 4. Game Theory; 5. Stochastic Operations Research; 6. Decision Analysis, which are then expanded into multiple subtopics, each as a chapter. These four volumes are aimed at the following five major target audiences: University and College students Educators, Professional Practitioners, Research Personnel and Policy Analysts, Managers, and Decision Makers and NGOs.
