Optimal investment

X, 156 S.

graph. Darst.

24 cm

1.The Merton ProblemIntroductionThe Value Function ApproachThe Dual Value Function ApproachThe Static Programming ApproachThe Pontryagin-Lagrange ApproachWhen is the Merton Problem Well Posed?Linking Optimal Solutions to the State-Price DensityDynamic Stochastic General Equilibrium ModelsCRRA Utility and Efficiency2.VariationsThe Finite-Horizon Merton ProblemInterest-Rate RiskA Habit Formation ModelTransaction CostsOptimisation under Drawdown ConstraintsAnnual Tax AccountingHistory-Dependent PreferencesNon-CRRA UtilitiesAn Insurance Example with Choice of Premium LevelMarkov-Modulated Asset DynamicsRandom LifetimeRandom Growth RateUtility from Wealth and ConsumptionWealth Preservation ConstraintConstraint on Drawdown of ConsumptionOption to Stop EarlyOptimization under Expected Shortfall ConstraintRecursive UtilityKeeping up with the Jones'sPerformance Relative to a BenchmarkUtility from Slice of the CakeInvestment Penalized by RiskinessLower Bound for UtilityProduction and ConsumptionPreferences with Limited Look-AheadInvesting in an Asset with Stochastic VolatilityVarying Growth RateBeating a BenchmarkLeverage Bound on the PortfolioSoft Wealth DrawdownInvestment with RetirementParameter UncertaintyRobust OptimizationLabour Income3.Numerical SolutionPolicy ImprovementOptimal StoppingOne-Dimensional Elliptic ProblemsMulti-Dimensional Elliptic ProblemsParabolic ProblemsBoundary ConditionsIterative Solutions of PDEsPolicy ImprovementValue RecursionNewton's Method4.How Well Does It Work?Stylized Facts About Asset ReturnsEstimation of l: The 20s ExampleEstimation of V.

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