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Portfolio optimizations in incomplete financial markets (Paperback) Loot Price: R523
Discovery Miles 5 230
Portfolio optimizations in incomplete financial markets (Paperback): Walter Schachermayer

Portfolio optimizations in incomplete financial markets (Paperback)

Walter Schachermayer

Series: Publications of the Scuola Normale Superiore

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Loot Price R523 Discovery Miles 5 230

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These Lecture Notes are based on a course given in June 2001 at the Cattedra Galileiana of Scuola Normale Superiore di Pisa. The course consisted of a short introduction into the basic concepts of Mathematical Finance, focusing on the notion of “no arbitrage”, and subsequently applying these concepts to portfolio optimization. To avoid technical difficulties I mainly dealt with the situation where the underlying probability space is finite and only sketched the difficulties arising in the general case. We then pass to the scheme of utility optimisation for general semi-martingale models. Some topics of this course are not standard: for example, in the treatment of the general existence theorem for the optimal portfolio, we give a direct proof which is not relying on duality theory. Similarly, the treatment of the asymptotic elasticity of utility functions and a related counter-example are original to these notes.

General

Imprint: Scuola Normale Superiore
Country of origin: Italy
Series: Publications of the Scuola Normale Superiore
Release date: October 2004
Firstpublished: 2004
Authors: Walter Schachermayer
Dimensions: 240 x 170mm (L x W)
Format: Paperback
Pages: 65
ISBN-13: 978-88-7642-141-9
Categories: Books > Science & Mathematics > Mathematics > Applied mathematics > General
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LSN: 88-7642-141-6
Barcode: 9788876421419

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