Portfolio optimization in incomplete financial markets

    • Schachermayer, Walter

著者

    • Schachermayer, Walter

書誌事項

Portfolio optimization in incomplete financial markets

Walter Schachermayer

(Pubblicazioni della Classe di scienze / Scuola Normale Superiore, . Cattedra galileiana)

Scuola Normale Superiore Pubblicazioni della Classe di Scienze, 2000

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注記

Includes bibliographical refereces

内容説明・目次

内容説明

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.

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詳細情報

  • NII書誌ID(NCID)
    BA7229173X
  • ISBN
    • 8876421416
  • 出版国コード
    it
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Pisa
  • ページ数/冊数
    65 p.
  • 大きさ
    24 cm
  • 親書誌ID
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