Duality Theory for Optimal Investments Under Model Uncertainty PDF Download
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Author: Alexander Schied
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Author: Alexander Schied
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Author: Gangadhar Bala Arshanapalli
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 356
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in terms of a HARA utility function with negative risk aversion and a dynamically consistent coherent risk measure, which allows for model uncertainty in the distributions of both the asset price dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal martingale measures. -- optimal investment ; model uncertainty ; incomplete markets ; stochastic volatility ; coherent risk measures ; optimal control ; convex duality
Author: Alain Bensoussan
Publisher: Elsevier
ISBN: 0080931006
Category : Mathematics
Languages : en
Pages : 743
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Book Description
Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field
Author: Hans Föllmer
Publisher: Walter de Gruyter
ISBN: 3110218046
Category : Business & Economics
Languages : en
Pages : 557
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This is the third, revised and extended edition of the classical introduction to the mathematics of finance, based on stochastic models in discrete time. In the first part of the book simple one-period models are studied, in the second part the idea
Author: Fred Espen Benth
Publisher: Springer Science & Business Media
ISBN: 3540708472
Category : Mathematics
Languages : en
Pages : 672
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The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over presented the newest developments within the exciting and fast growing field of stochastic analysis. This volume combines both papers from the invited speakers and contributions by the presenting lecturers. In addition, it includes the Memoirs that Kiyoshi Ito wrote for this occasion.
Author: Marc Yor
Publisher: Springer Science & Business Media
ISBN: 354075265X
Category : Mathematics
Languages : en
Pages : 83
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Book Description
This collection of essays is based on lectures given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance. The collection develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes. The book also features a description of the trainings of French financial analysts.
Author: Shigeo Kusuoka
Publisher: Springer Science & Business Media
ISBN: 4431538836
Category : Business & Economics
Languages : en
Pages : 234
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Book Description
A lot of economic problems can be formulated as constrained optimizations and equilibration of their solutions. Various mathematical theories have been supplying economists with indispensable machineries for these problems arising in economic theory. Conversely, mathematicians have been stimulated by various mathematical difficulties raised by economic theories. The series is designed to bring together those mathematicians who are seriously interested in getting new challenging stimuli from economic theories with those economists who are seeking effective mathematical tools for their research.
Author: Kyösti S. Pietola
Publisher:
ISBN:
Category : Electronic books
Languages : en
Pages : 15
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Author: Shri Bhagwan Dahiya
Publisher: Concept Publishing Company
ISBN: 9788170223535
Category :
Languages : en
Pages : 448
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Book Description
