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Optimal Consumption Portfolio Policies With Habit Formation
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Book Synopsis Computing and Combinatorics by : Ding-Zhu Du
Download or read book Computing and Combinatorics written by Ding-Zhu Du and published by Springer. This book was released on 2003-06-26 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 6th Annual International Conference on Computing and Combinatorics, COCOON 2000, held in Sydney, Australia in July 2000.The 44 revised full papers presented together with two invited contributions were carefully reviewed and selected from a total of 81 submissions. The book offers topical sections on computational geometry; graph drawing; graph theory and algorithms; complexity, discrete mathematics, and number theory; online algorithms; parallel and distributed computing; combinatorial optimization; data structures and computational biology; learning and cryptography; and automata and quantum computing.
Book Synopsis Lectures on the Mathematics of Finance by : Ioannis Karatzas
Download or read book Lectures on the Mathematics of Finance written by Ioannis Karatzas and published by American Mathematical Soc.. This book was released on 1997 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.
Book Synopsis Studies of Supply and Demand in Higher Education by : Charles T. Clotfelter
Download or read book Studies of Supply and Demand in Higher Education written by Charles T. Clotfelter and published by University of Chicago Press. This book was released on 2008-04-15 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the United States today, there are some 3,400 separately governed colleges and universities, amounting to a higher education industry with expenditures that constitute 2.8% of the gross national product. Yet, the economic issues affecting this industry have been paid relatively little attention. In this collection of eight essays, experts in economics and education bring economic analysis to bear on such underexamined topics as the nature of competition in higher education, higher education's use of resources, and who chooses to purchase what kind of education and why. In higher education, supply refers to such issues as government support for public colleges and universities, the means by which graduate programs allocate financial support to students, and the criteria that universities use for investing endowments. Demand pertains to patterns of student enrollment and to the government, business, and individual market for the service and research activities of higher education. Why are tuitions nearly the same among schools despite differences in prestige? How are institutions with small endowments able to compete successfully with institutions that have huge endowments? How are race and ethnicity reflected in enrollment trends? Where do the best students go? What choices among colleges do young people from low-income backgrounds face? This volume addresses these questions and suggests subjects for further study of the economics of higher education.
Book Synopsis Worldwide Asset and Liability Modeling by : William T. Ziemba
Download or read book Worldwide Asset and Liability Modeling written by William T. Ziemba and published by Cambridge University Press. This book was released on 1998-11-12 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt: The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
Book Synopsis Nonaddictive Habit Formation and the Equity Premium Puzzle by : Milind M. Shrikhande
Download or read book Nonaddictive Habit Formation and the Equity Premium Puzzle written by Milind M. Shrikhande and published by . This book was released on 1996 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing Theory by : Costis Skiadas
Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Book Synopsis Advanced Asset Pricing Theory by : Chenghu Ma
Download or read book Advanced Asset Pricing Theory written by Chenghu Ma and published by World Scientific. This book was released on 2011 with total page 818 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad introduction to modern asset pricing theory. The theory is self-contained and unified in presentation. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework. It fills a gap in the body of literature on asset pricing for being both advanced and comprehensive. The absence of arbitrage opportunities represents a necessary condition for equilibrium in the financial markets. However, the absence of arbitrage is not a sufficient condition for establishing equilibrium. These interrelationships are overlooked by the proponents of the no-arbitrage approach to asset pricing.This book also tackles recent advancement on inversion problems raised in asset pricing theory, which include the information role of financial options and the information content of term structure of interest rates and interest rates contingent claims.The inclusion of the proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory made it an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The detailed explanations will capture the interest of the curious reader, and it is complete enough to provide the necessary background material needed to delve deeper into the subject and explore the research literature.Postgraduate students in economics with a good grasp of calculus, linear algebra, and probability and statistics will find themselves ready to tackle topics covered in this book. They will certainly benefit from the mathematical coverage in stochastic processes and stochastic differential equation with applications in finance. Postgraduate students in financial mathematics and financial engineering will also benefit, not only from the mathematical tools introduced in this book, but also from the economic ideas underpinning the economic modeling of financial markets.Both these groups of postgraduate students will learn the economic issues involved in financial modeling. The book can be used as an advanced text for Masters and PhD students in all subjects of financial economics, financial mathematics, mathematical finance, and financial engineering. It is also an ideal reference for practitioners and researchers in the subjects.
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Book Synopsis Methods of Mathematical Finance by : Ioannis Karatzas
Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer. This book was released on 2017-01-10 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by Clarendon Lectures in Economic. This book was released on 2002 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset return behavior and assumed investor objectives, the authors derive optimal portfolio rules that investors can compare with existing rules of thumb.
Book Synopsis Optimal Consumption and Portfolio Rules with Durability and Habit Formation by : Ayman Hindy
Download or read book Optimal Consumption and Portfolio Rules with Durability and Habit Formation written by Ayman Hindy and published by . This book was released on 1993 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing: A Structural Theory And Its Applications by : Bing Cheng
Download or read book Asset Pricing: A Structural Theory And Its Applications written by Bing Cheng and published by World Scientific. This book was released on 2008-07-21 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.
Book Synopsis Handbooks in Operations Research and Management Science: Financial Engineering by : John R. Birge
Download or read book Handbooks in Operations Research and Management Science: Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Download or read book Hooked written by Nir Eyal and published by Penguin. This book was released on 2014-11-04 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Revised and Updated, Featuring a New Case Study How do successful companies create products people can’t put down? Why do some products capture widespread attention while others flop? What makes us engage with certain products out of sheer habit? Is there a pattern underlying how technologies hook us? Nir Eyal answers these questions (and many more) by explaining the Hook Model—a four-step process embedded into the products of many successful companies to subtly encourage customer behavior. Through consecutive “hook cycles,” these products reach their ultimate goal of bringing users back again and again without depending on costly advertising or aggressive messaging. Hooked is based on Eyal’s years of research, consulting, and practical experience. He wrote the book he wished had been available to him as a start-up founder—not abstract theory, but a how-to guide for building better products. Hooked is written for product managers, designers, marketers, start-up founders, and anyone who seeks to understand how products influence our behavior. Eyal provides readers with: • Practical insights to create user habits that stick. • Actionable steps for building products people love. • Fascinating examples from the iPhone to Twitter, Pinterest to the Bible App, and many other habit-forming products.
Book Synopsis Life Cycle Investing and Occupational Old-Age Provision in Switzerland by : Florian Zainhofer
Download or read book Life Cycle Investing and Occupational Old-Age Provision in Switzerland written by Florian Zainhofer and published by Springer Science & Business Media. This book was released on 2008-08-01 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Florian Zainhofer uses the theory of life cycle investing as a framework to study the implications of a potential BVG individualization. He proposes a model adapted to Swiss conditions and parameterized with estimated Swiss earnings dynamics.
Book Synopsis Optimal Investment Strategies for University Endowment Funds by : Robert C. Merton
Download or read book Optimal Investment Strategies for University Endowment Funds written by Robert C. Merton and published by . This book was released on 1991 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
