Browsing by Subject / Keyword "Investment analysis -- Mathematical models"
Now showing items 1-2 of 2
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Modern methods in asset allocation and portofolio management
(2014-08-18)Various researchers proposed different approaches for asset allocation. Optimal investment portfolios were first developed by Markowitz in his Modern Portfolio Theory (MPT). Markowitz relied in some unrealistic assumptions ... -
Utility consumption investment optimization in complete markets and applications in dynamic programming
(2011-11-18)A general consumption/ investment problem is considered for an agent whose actions cannot affect the market prices, and who strives to maximize total expected discounted utility of both consumption and/or terminal wealth. ...