Download or read book Optimal Investment and Consumption Strategies for a Class of Utility Functions written by Nils Hemming Hakansson and published by . This book was released on 1969 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Convergence of Utility Functions and Convergence of Optimal Strategies written by Elyes Jouini and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the stability (in the L^{p} as well as for the almost sure convergence sense) of the optimal investment-consumption strategy with respect to the choice of the utility function.
Download or read book Optimal Investment and Consumption Strategies Under Risk and Uncertain Lifetime and Insurance written by Nils H. Hakansson and published by . This book was released on 1967 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a previous paper, the author presented a normative model of the individual's economic decision problem under risk. This model is now extended to include the case in which the individual has an uncertain life-time, a bequest motive, and the opportunity to enter into contracts of insurance. Optimal investment and consumption strategies are derived, where possible, for the class of utility functions whose proportional risk aversion indices are constants, and their properties are noted. In consequence of one of these properties, it is shown that the model gives rise to an induced theory of the firm under risk, which may be viewed as an extension of the theory developed for the case in which the horizon is certain. In addition, it is found that when the premium charged is 'fair, ' any given individual may be able to make himself better off both by the purchase of insurance on his own life and the sale of insurance on the lives of others. (Author).
Download or read book Kelly Capital Growth Investment Criterion The Theory And Practice written by Leonard C Maclean and published by World Scientific. This book was released on 2011-02-10 with total page 883 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) "(D Bernoulli)"A New Interpretation of Information Rate "(J R Kelly, Jr)"Criteria for Choice among Risky Ventures "(H A Latan)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the ?Growth-Optimum-Model? "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hopp)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"
Download or read book Optimal Investment and Consumption with Transaction Costs written by Steven E. Shreve and published by . This book was released on 1990 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: "An agent can invest in a high-yield bond and a low-yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. The low-yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high-yield bond can be consumed only by first moving it into the low-yield bond. The problem of optimal consumption and investment on an infinite planning horizon is solved for a class of utility functions larger than the class of power functions."
Download or read book Stochastic Optimization Models in Finance written by W. T. Ziemba and published by Academic Press. This book was released on 2014-05-12 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.
Download or read book Finance written by John Eatwell and published by Springer. This book was released on 1989-09-21 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on finance.
Download or read book Theory of Valuation written by Sudipto Bhattacharya and published by World Scientific. This book was released on 2005 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz. Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompted the publication of a new edition. This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist. It also provides material for PhD-level courses covering valuation theory, and elective reading for advanced MasterOCOs and undergraduate courses. In addition to reproducing the original contributions, this edition includes the seminal paper by Edward C Prescott and Rajnish Mehra, OC Recursive Competitive Equilibrium: The Case of Homogeneous Households, OCO originally published in Econometrica in 1980."
Download or read book Theory Of Valuation 2nd Edition written by Sudipto Bhattacharya and published by World Scientific. This book was released on 2005-07-12 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz.Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompted the publication of a new edition.This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist. It also provides material for PhD-level courses covering valuation theory, and elective reading for advanced Master's and undergraduate courses.In addition to reproducing the original contributions, this edition includes the seminal paper by Edward C Prescott and Rajnish Mehra, “Recursive Competitive Equilibrium: The Case of Homogeneous Households,” originally published in Econometrica in 1980.
Download or read book Collected Reprints written by Southwest Fisheries Center (U.S.) and published by . This book was released on 1980 with total page 1074 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Programming and Stochastic Control written by Bertsekas and published by Academic Press. This book was released on 1976-11-26 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Programming and Stochastic Control
Download or read book Online Algorithms for the Portfolio Selection Problem written by Robert Dochow and published by Springer. This book was released on 2016-05-24 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk-adjusted performance. In addition, when the objective is the minimization of risk, the two new algorithms with risk management show excellent performance. A prototype of a software tool for automated evaluation of algorithms for portfolio selection is given.
Download or read book The Economics of Saving written by James H. Gapinski and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book began when a letter reached my desk in November 1989. Written by Warren Samuels, professor of economics at Michigan State University and editor for Kluwer Academic Publishers, the letter reviewed the philosophy behind Kluwer's series on recent economic thought and accordingly expressed interest in the controversies that surround con temporary topics in the discipline. It graciously went on to invite me to organize, consonant with that philosophy, a volume of chapters on saving. Soon thereafter I learned that the chapters were to be original compositions. I also learned that I would have substantial flexibility in structuring the volume and in recruiting contributors, who logically would be authorities in the field. Succinctly, Samuels was inviting me to work with leading scholars in exploring the current controversies in saving, one of my favorite subjects. That invitation was simply too tempting to refuse. Preparation of the book's outline went smoothly. It was obvious that the statistics of saving should be covered along with the theories of saving. It was equally obvious that special issues must be addressed: Ricardian Equivalence, supply-side doctrine, and economic development among others. These themes should be handled so as to bring out the ideological tensions in the profession, and that criterion helped to shape the list of potential contributors. That is, both sides of a conflict should be represented, and both should be given the same treatment.
Download or read book Technical Abstract Bulletin written by and published by . This book was released on 1967 with total page 866 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Investment Heterogeneous Consumption and Best Time for Retirement written by Hyun Jin Jang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optimal heterogeneous consumption strategies for a class of non-homothetic utility maximizer are shown to consume only basic goods when the wealth is small, to consume basic goods and make savings when the wealth is intermediate, and to consume almost all in luxury goods when the wealth is large. The optimal retirement policy is shown to be both universal, in the sense that all individuals should retire at the same level of marginal utility that is determined only by income, labor cost, discount factor as well as market parameters, and not universal, in the sense that all individuals can achieve the same marginal utility with different utility and wealth. It is also shown that individuals prefer to retire as time goes by if the marginal labor cost increases faster than that of income. The main tools used in analyzing the problem are from PDE and stochastic control theory including variational inequality and dual transformation. We finally conduct the simulation analysis for the featured model parameters to investigate practical and economic implications by providing their figures.
Download or read book Financial Asset Pricing Theory written by Claus Munk and published by Oxford University Press, USA. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
Download or read book Contemporary Issues in Economics written by Association of University Teachers of Economics and published by Manchester University Press. This book was released on 1975 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt:
