Optimal Investment

L. C. G. Rogers

Springer

2013

156 páginas

5h 12m

ISBN-13: 9783642352010

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.