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Carte Dynamic Portfolio Optimization and Asset Pricing Martingale Methods and Probability Distortion Functions Mahmoud Hamada

Dynamic Portfolio Optimization and Asset Pricing Martingale Methods and Probability Distortion Functions

Autor: Mahmoud Hamada
Limbă: engleză
Legare: Carte broșată
Editura: VDM Verlag
Disponibilitate: În depozitul extern
Expediem în 14-21 zile
437.16 lei
This monograph consists of three contributions to §financial and insurance mathematics. §The first p...

Informații despre carte

Autor
Mahmoud Hamada
Limbă
engleză
Legare
Carte - Carte broșată
Publicat
2009
Pagini
244
EAN
9783639110586
ISBN
3639110587
Enbook ID
06819975
Editura
VDM Verlag
Greutate
331
Dimensiuni
152 x 229 x 13

Descriere completă

This monograph consists of three contributions to §financial and insurance mathematics. §The first part considers numerical methods for §dynamic portfolio optimization in the expected §utility model. It compares the martingale approach §to stochastic dynamic programming and provides new §theoretical results relating to the Hyperbolic §Absolute Risk Aversion class of utility functions. §The second part considers the pricing of contingent §claims using an approach developed and applied in §insurance. It shows that the risk-neutral valuation §can be recovered from the probability distortion §function approach, thereby establishing consistency §between the insurance and the financial approaches.§The third part introduces dynamic portfolio §optimization with risk measures based on probability §distortion functions and provides a formal treatment §of this class of risk measures. It employs the §martingale approach to examine the consumption-§investment problem in discrete time with preferences §consistent with the dual (non-expected utility) §theory of choice, where subjective probabilities §rather than outcomes are distorted to express the §investor's risk aversion.

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