Mathematical Methods in Investment and FinanceG. P. Szegö, Karl Shell |
Contents
A tâtonnement process for investment under uncertainty | 3 |
On turnpike portfolios | 24 |
Optimal savings and portfolio choice under certainty | 34 |
Copyright | |
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analysis assumed assumption average b-transfer bank C₁ capital cash balance cash flows changes concave function consider constant constraints consumption coupon rates decision decreasing defined demand deposits distribution economic equation equilibrium estimate expected utility expected value finite horizon firm forecast given Hence horizon policy implies increase individual interest rates investors Keynesian linear liquidity loans long-term bonds loss function manager's marginal market portfolio maximize maximum expected utility money supply negative no-transfer set obtain optimal policy optimal portfolio P₁ parameters period portfolio returns portfolio selection positive problem profit r₁ random variable random walk hypothesis rate of return relative risk aversion riskless risky assets securities solution standard deviation T₁ theorem theory tion transaction costs transfer utility function variance wealth x₁ xi+1 y₁ zero β₁