最適投資：数値的アプローチ Optimal Investment

著者名：Rogers, L. C. G.

Springer（2013/01/10発売）

• 言語：ENG
• ISBN：9783642352010
• eISBN：9783642352027

Description

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.

Table of Contents

Preface.- The Merton Problem.- Variations.- Numerical Solution.- How Well Does It Work.- Index.- References.