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Optimal Investment [electronic resource] / by L. C. G. Rogers.

By: Contributor(s): Material type: TextTextSeries: SpringerBriefs in Quantitative FinancePublisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013Description: X, 156 p. 44 illus., 3 illus. in color. online resourceContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9783642352027
Subject(s): Additional physical formats: Printed edition:: No titleDDC classification:
  • 519 23
LOC classification:
  • HB135-147
Online resources:
Contents:
Preface -- The Merton Problem -- Variations -- Numerical Solution -- How Well Does It Work -- Index -- References.
In: Springer eBooksSummary: 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.
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Preface -- The Merton Problem -- Variations -- Numerical Solution -- How Well Does It Work -- Index -- References.

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.

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