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Optimal Investment

by Rogers, L. C. G.
Authors: SpringerLink (Online service) Series: SpringerBriefs in Quantitative Finance, 2192-7006 Physical details: X, 156 p. 44 illus., 3 illus. in color. online resource. ISBN: 3642352022 Subject(s): Mathematics. | Finance. | Numerical analysis. | Mathematical optimization. | Mathematics. | Quantitative Finance. | Finance/Investment/Banking. | Numerical Analysis. | Calculus of Variations and Optimal Control; Optimization.
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E-Book E-Book AUM Main Library 519 (Browse Shelf) Not for loan

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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